Comparative Estimation of Russian Issuers Structured Products with Capital Protection Margin

Student: Zhdankina Mariya

Educational Programme: Economics (Bachelor)

Final Grade: 9

Year of Graduation: 2022

In this paper, the Russian market of structured products was considered from the point of view of calculating the fair value and assessing the hidden costs of products. The sample consisted of 22 structured products with full capital protection from VTB Bank, Sberbank, MCB and Gazprombank. The fair value of products was calculated using two methods: Decomposition approach and Simulation approach (Monte Carlo method). According to the results of the work, the average value of the annual margin is 4.64%.

Full text (added April 30, 2022)

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