本文選題：資產(chǎn)證券化　切入點(diǎn)：定價(jià)模型　出處：《吉林大學(xué)》2017年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：資產(chǎn)證券化業(yè)務(wù)的起源可追溯至上世紀(jì)七十年代,隨著資本市場(chǎng)的發(fā)展,資產(chǎn)證券化產(chǎn)品種類(lèi)不斷豐富,發(fā)行總額呈指數(shù)式增長(zhǎng),目前已成為金融市場(chǎng)主體進(jìn)行融資的重要工具之一,其定價(jià)模型的適用性與合理性,已經(jīng)成為影響金融市場(chǎng)主體融資效率的一個(gè)重要因素。值得注意的是,由于我國(guó)資產(chǎn)證券化的發(fā)展還處于起步階段,利率市場(chǎng)化進(jìn)程尚未完成,且國(guó)外定價(jià)模型在我國(guó)的適用性有限,造成目前國(guó)內(nèi)資產(chǎn)證券化產(chǎn)品定價(jià)沒(méi)有形成統(tǒng)一的標(biāo)準(zhǔn),降低了市場(chǎng)融資效率,不利于實(shí)體經(jīng)濟(jì)發(fā)展。因此,構(gòu)建我國(guó)信貸資產(chǎn)證券化產(chǎn)品定價(jià)實(shí)證模型,找尋不同基礎(chǔ)資產(chǎn)證券化產(chǎn)品定價(jià)的影響因素,不僅可以完善資產(chǎn)證券化定價(jià)理論,而且對(duì)縮減資產(chǎn)泡沫,維持金融市場(chǎng)穩(wěn)定和提高資源配置效率具有重大意義。對(duì)于資產(chǎn)證券化產(chǎn)品定價(jià)的研究,國(guó)外相關(guān)學(xué)者研究重點(diǎn)主要集中在單只產(chǎn)品的利率期限結(jié)構(gòu)上,通過(guò)蒙特卡洛模擬或因子模型優(yōu)化利率路徑與波動(dòng)趨勢(shì),最終找尋符合市場(chǎng)運(yùn)行的定價(jià)模型,而國(guó)內(nèi)有關(guān)研究稍顯不足,且大部分研究與金融市場(chǎng)脫節(jié)。因此,本文首先對(duì)中美資產(chǎn)證券化發(fā)展現(xiàn)狀進(jìn)行描述性統(tǒng)計(jì)分析,探求兩國(guó)證券化發(fā)展產(chǎn)生差異的原因。然后,對(duì)資產(chǎn)證券化定價(jià)模型進(jìn)行梳理,論述每個(gè)模型的優(yōu)缺點(diǎn)與實(shí)用性。結(jié)果發(fā)現(xiàn),我國(guó)資產(chǎn)證券化產(chǎn)品無(wú)論從體量還是種類(lèi)上都與美國(guó)具有一定差距,這同政府支持力度與制度完善程度密切相關(guān);定價(jià)模型方面,受利率市場(chǎng)化進(jìn)程限制,當(dāng)前只能使用靜態(tài)利差法進(jìn)行產(chǎn)品定價(jià),未來(lái)期權(quán)調(diào)整利差法將成為趨勢(shì)。最后,基于上述總結(jié)和分析,本文以個(gè)人住房抵押貸款、消費(fèi)性貸款、企業(yè)貸款和租賃資產(chǎn)為基礎(chǔ)資產(chǎn)的信貸資產(chǎn)證券化產(chǎn)品構(gòu)建四個(gè)偏最小二乘模型,進(jìn)行交互檢驗(yàn),篩選最小化因子,給出模型效應(yīng)權(quán)數(shù)與因子載荷,并在此基礎(chǔ)上進(jìn)行標(biāo)準(zhǔn)化回歸,最終給出VIP值,得出不同基礎(chǔ)資產(chǎn)的信貸資產(chǎn)證券化產(chǎn)品定價(jià)模型影響因素。研究發(fā)現(xiàn):票面利率與證券評(píng)級(jí)嚴(yán)格呈現(xiàn)負(fù)相關(guān)關(guān)系,與加權(quán)平均期限、債券期限嚴(yán)格呈現(xiàn)正相關(guān)關(guān)系;指導(dǎo)利率是影響四個(gè)模型票面利率的核心因素;個(gè)人住房抵押貸款模型受債券期限影響程度大于加權(quán)平均期限,消費(fèi)性貸款模型受發(fā)起人資產(chǎn)規(guī)模與加權(quán)平均期限影響較大,企業(yè)貸款模型對(duì)于現(xiàn)金流穩(wěn)定性的要求較高,對(duì)證券評(píng)級(jí)較為敏感,租賃資產(chǎn)模型由于發(fā)展時(shí)間較短以及資產(chǎn)自身特性等因素,對(duì)于證券評(píng)級(jí)極其敏感。
[Abstract]:The origin of asset securitization business can be traced back to last 70s. With the development of capital market, asset securitization products are constantly rich in variety, and the total issuance amount is increasing exponentially. At present, it has become one of the important tools for the main body of the financial market to carry out financing. The applicability and rationality of its pricing model have become an important factor affecting the financing efficiency of the main body of the financial market. Since the development of asset securitization in China is still in its infancy, the process of interest rate marketization has not been completed, and the applicability of foreign pricing models in China is limited, the pricing of domestic asset securitization products has not formed a unified standard at present. It reduces the efficiency of market financing and is not conducive to the development of real economy. Therefore, the empirical model of product pricing of credit asset securitization in China is constructed to find out the influencing factors of pricing of different basic asset securitization products. It can not only perfect the pricing theory of asset securitization, but also reduce the asset bubble, maintain the stability of financial market and improve the efficiency of resource allocation. Foreign scholars mainly focus on the interest rate term structure of a single product. Monte Carlo simulation or factor model is used to optimize the interest rate path and volatility trend, and finally to find a pricing model that conforms to the market operation. However, the domestic research is not enough, and most of the studies are out of touch with the financial market. Therefore, this paper first makes a descriptive statistical analysis of the current situation of asset securitization between China and the United States, and explores the reasons for the differences in the development of securitization between the two countries. This paper combs the pricing model of asset securitization, discusses the advantages and disadvantages and practicability of each model, and finds that there is a certain gap between China's asset securitization products and the United States in terms of volume and type. This is closely related to the degree of government support and the perfection of the system. In the pricing model, due to the process of interest rate marketization, we can only use the static spread method to price the products at present, and the option adjustment method will become the trend in the future. Based on the above summary and analysis, this paper constructs four partial least squares models of credit asset securitization products based on personal housing mortgage, consumer loans, enterprise loans and leased assets, and carries out interactive tests. Screening the minimization factor, giving the weight of the model effect and factor load, and on the basis of which the standardized regression is carried out, and finally the VIP value is given. The factors influencing the pricing model of credit asset securitization products with different basic assets are obtained. The results show that the coupon rate is negatively correlated with the securities rating strictly, and it is positively correlated with the weighted average maturity and the bond maturity. The guiding interest rate is the core factor that affects the par interest rate of the four models. The personal housing mortgage model is more affected by the bond maturity than the weighted average term, while the consumer loan model is greatly affected by the sponsors' asset size and the weighted average term. The enterprise loan model requires higher cash flow stability and is more sensitive to the securities rating. The leasing asset model is extremely sensitive to the securities rating because of the short development time and the characteristics of the assets themselves.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類(lèi)號(hào)】：F832.51;F832.4

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 李波;宋e，

本文編號(hào)：1578690