The Model And Empirical Research Of Asset Securitization Based On Prospect Theory

Asset securitization is a new technical and economic project financing mode after the bank loans, bonds and stocks, while the expected utility theory is not applicable to investment decision-making of asset securitization of technical and economic project such as infrastructure, therefore it needs to make new exploration on investment decision-making based on the prospect theory; In theory, we summarize the three basic theoretical perspectives of prospect theory, combine with the principles of asset securitization, and build three important model of asset securitization. In practice, taking Henan Highway as an example, analyzing the problem of rationality of asset securitization.The calculation model and empirical analysis of capital return based on the prospect theory. The fundamental asset can be expected to produce the stable cash flow, which is the premise of asset securitization. Based on the theory of the prospect theory in behavioral economics, we established an equilibrium model between the dividend of capital owners (part of current income) and investment demand (investing the other part of the current income for long-term gains), which could calculate the return rate of fixed capital stock. Empirically, we established a model for Henan highway capital stock return rate to prove that they have relatively high and stable return rate, thus demonstrated the Securitization rationality of Henan Highway Asset.We introduced the spatial association value into growth potential and optimization analysis of asset portfolio (the pool of securitized assets) based on the whole optimization view of Prospect theory. In theory, we summarized the whole optimization view of Prospect theory about asset portfolio:an integrated consideration and optimization of existing wealth, the wealth level that hopes to reach, the probability to expectations, investment security and the desire of growth potential and so on. In the empirical analysis, we established the fee model about Henan expressway network (asset portfolio) with spatial association, and then derived the flow quantity of cars, passenger trains, and the equilibrium relationship between the lines of space connecting intensity, we further proposed the optimization scheme of Henan expressway network as well, which demonstrate that Henan expressway network is the portfolio that investors can choose. The financing scale model and empirical analysis of asset securitization based on the prospect theory. This article put forward a credit enhancement mechanism about benefit sharing between investor and credit enhancement, and then put "investment reference view" of prospect theory into investment decision-making model of asset securitization. This model indicated that the scale of the securitization financing not only depends on the comparison between the expected future earnings and the security gains based on Treasury Bills, but also depends on the design of benefit-sharing mechanisms between investor and credit enhancement. The benefit that is shared by the credit enhancement was proportional to interest rate of expectations (expected return minus the safety yield). The financing scale model that based on the prospect theory was proved to be correct through the empirical analysis on Henan Highway’s financing scale of asset securitization.Finally we put forward the measures that can promote the asset securitization of Henan highway. And we design a roadmap of the asset securitization of Henan highway, propose such as credit enhancement, risk style, system innovation and other measures.