Year of Graduation
Design and Evaluation of Structured financial products
The main purpose of the research is to develop a method of capital protection structured financial products price estimation which is based on equivalent basket of financial instruments and estimate structured products prices on secondary market using this method. A detailed description of structured financial products modeling process is performed in this research. As a result a technique of capital protection structured financial products based on equivalent basket of financial instruments was designed. An estimation of several structured products results in that SFPs are overpriced on secondary marker comparing with equivalent basket of assets (average margin is about 3%). This fact means that there is some group of investors who is able to overpay for SFP because this product gives them an additional value comparing with other investing methods. This value can be explained by comfortable terms of usage, by access to new assets and new markets for investing, by more appropriate risk-yield combination of SFP. The difference between theoretical and real prices of SFP is hidden commission of a bank which emits this financial product.This research shows that banks can obtain cheaper financing by using structured financial products.