Accumulator Analysis and Pricing Based on Monte Carlo method
2008 is a year of financial crisis,the subprime crisis in the United States and the serious turbulence that followed caused uncertainty eventually spread through global credit markets,sparking the global financial crisis.The volatility of stock market,foreign exchange market,commodity market increased rapidly.Thus for structured products,the risks caused by high leverage become too large to comprehend.The well-known Hong Kong company,CITIC Pacific suffered huge loss because of the use of wrong type of structured products —— accumulator,the total loss of CITIC Pacific would be 15.5 billion HKD.With financial liberalization and globalization,financial instruments are also appearing in risk diversification and complication.How to choose the right financial derivatives to hedge risk is a crucial problem to be solved.This paper selects a widely known use of wrong financial derivatives —— case of CITIC Pacifics contracts.The body of this paper introduces the principle of one kind of structured financial product —— accumulator,and one kind of risk measurement system —— VaR model.Then this paper gives a brief introduction of the case and standardized the accumulator,uses the Monte Carlo and VaR model to price the accumulator and measure the risk.As a result,the prices of these contracts are unfair.Finally,this paper makes suggestions on structured financial products selections on hedging risks.
accumulator VaR Monte Carlo
Zihan Zhao Desheng Wu
School of Management,University of Chinese Academy of Sciences,Beijing,100190,China
国际会议
上海
英文
295-298
2017-07-07（万方平台首次上网日期，不代表论文的发表时间）