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Research On Running Model Of Domestic Asset-Backed Securitization

Posted on:2005-04-18Degree:DoctorType:Dissertation
Country:ChinaCandidate:Y B AiFull Text:PDF
GTID:1116360152968607Subject:Management Science and Engineering
Abstract/Summary:PDF Full Text Request
After 70s of the twentieth century, international finance is facing tendency of globlization, liberalization and securitization. Innovation of financial product comes into the world everyday because of information technology development. Financial industry in some developed marketing countries come back into the track of mix-operation. Limitation of finance based on banking industry is met continuously. The breaking out of crisises in eastern Asia, southern America, and Russia forces people to seek new financial road in order to manage financial risks. Asset-backed securitization is born under this environment and has became the key tool of financing in some developed countries. Following entrance of WTO, everybody recognizes the importance of financial reforming and openning to the world more quickly in our country. During this period domestic financial industry will face intense competition from foreign financial institutions, which will give the financial industry opportunity and challenge. So the financial industries in our country should absorb all advanced financial technology and innovative achievement in order to get equal competitive condition. So it is very important to research domestic securitization under the background. This thesis studies following problems around operation pattern of domestic securitization. Applying economic theory and financial efficiency theory, the thesis analyses economic characteristic of securitizaion, and expounds innovative connotation of asset-backed securitization. According to the innovative connotation of asset-backed securitization, the contributions to making the efficiency of domestic financial industries rise are expounded. The researches above supply the deeper studies with theoretical foundation. The asset-backed securitization is impossible if the related organizations are not constructed. The thesis analyses some asset-backed securitization patterns in foreign countries which are representative, and concludes some general characteristic. Based on these general characteristic and general principles of asset-backed securitization, an asset-backed securitization organization model is constructed which is dominant by government. The organization model is designed as the pattern of double-risk remote. Duriing the processing, the total three-level orgnization model is given. Some particular sub-organization models are designed, such as ABSC, SPV etc., which are key parts of the organization model. The thesis studies asset-backed securitization credit enhancement which is one of the key technologies in asset-backed securitization. The functions of asset-backed securitization credit enhancement are analysed systematically. Some credit enhancement technologies uesed frequently are discussed here. The advantages and weakness of the discussed credit enhancement technologies are researched. Based on the research, two credit enhancement decision-making models of constructing credit enhancement schemes are established, and a pattern of domestic asset-backed securitization credit enhancement is designed also. The thesis builds a grey-related analysis model about factors which affect the pre-paying of underlying assets. Through the grey analysis, the key factors are chosen out which affect the pre-paying. Using these factors chosen out by grey analysis, a pre-paying model is established based on the standard-line risk function. Finally, a pricing-model about asset-backed security is built based on the pre-paying model. According to charateristic of asset-backed securuty, it can be seperated into fixed-interest bond and call option. Using Black-Scholes model, a pricing model of call option which is embeded in asset-backed security is established. Pricing model of the fixed-interest bond can be built by discounting the cash flow. Through integrating of the pricing model of the call option and the pricing model of the fixed-interest bond, another asset-backed security pricing model is established. Asset-backed seciritization accounting is a very important probl...
Keywords/Search Tags:Asset-Backed Securitization, Organization Model, Asset-Backed Security, Credit Enhancement, Pricing Model
PDF Full Text Request
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