A Study On Several Issues About Asset Securitization

In recent years,China's enterprises are facing a serious "financing difficulties",around this issue how to obtain the required capital of the enterprise,resulting in a variety of financing methods or financial tools.Asset securitization is an important method of financing that uses structured finance and is seen as one of the most important financial innovations in global financial markets in recent decades.Asset securitisation is the process whereby various types of loans are pooled together into tradable securities which are then sold on to a range of investors.Securitization is one of the most impormant innovations in financial markets.And credit asset securitization is recognized as an important way to solve problem of capital shortage for commercial banks.Based on the above understanding,This paper studies the product design and risk management of securitization for entrepreneurial income assets,including the feasibility analysis,the construction and segmentation of the total cash flow in the pool,the pricing of securitization products,the retention of risk and asset securitization under the framework of the behavioral finance,credit guarantee and other issues.Under perfect competition,we analyze the feasibility of securitization of entrepreneurial income,the implementation condition and the existing problems of the financing problem of the enterprise by using the combination of theoretical analysis and financial practice.Based on the theory of risk neutral pricing,the mathematical models which accord with the principle of economics and easy to deal with are established,and this paper gives the price of various securitization products under the securitization of credit assets;and discusses the optimal risk retention of issuers in asset securitization under information asymmetry by means of comprehensive mathematical methods and financial engineering techniques;and then the paper discusses the impact of the risk transfer of credit asset securitization on the financial system by using the theory of financial economics.Finally,it puts forward the policy suggestion of the development and risk control of the bank's credit asset securitization.The specific content of this paper is divided into the following aspects:First of all,we discuss the feasibility analysis of the financing problem of venture income securitization.Through the securitization of assets based on"non-existent cash flows",it is possible to realize the win-win situation of the start-up enterprises,financial intermediaries,guarantee companies and investors together through the sale of these securities after the guarantee of the powerful guarantee company(which can also benefit the government through taxation).In order to reduce the information asymmetry and investment risk in the process of asset securitization,it is pointed out that the necessity of "escorting" a strong financial guarantee company for asset-backed securities is necessary;to establish a strong guarantee company,it proposes that the company issues contingent convertible bonds or other capital,and demonstrate the necessity and feasibility of this claim.Secondly,we build a venture income multi-asset issuer asset securitization structure value model,and then explore the motivtion of commercial banks to carry out asset securitization and how to choose assets securitization.The model analysis bases on a continuous time environment,we analytically give all claim prices of the enterprise and choose the type of commercial banks securitization by maximize the value of securitization.In the process of the model,we design the segmentation of the total cash flow of the asset pool,and price different types of securitization product by the firm's securities pricing theory.The results show that the establishment of asset pool securitization can not only revitalize capital,but also can improve the value of assets.There is a monotonically decreasing relationship between the total value of the pool of assets and the correlation coefficient between the cash flows entering the various parts of the pool.Thirdly,we study the optimal risk retention strategy of issuer under asymmetry information.The purpose of risk retention is to ensure that the issuer strengthens the risk monitoring of the asset pool of the asset securitization and reduces the moral hazard of the issuer.To maintain incentives to screen and monitor assets,it seems logical to require lenders to retain some securitized assets in the form of tranches so that they remain exposed to risk.Therefore,to achieve the regulatory target,the proportion of the retention rate should be positively related to the overall risk of the basic asset pool.We design the quantity model on the proportion of skim in the game in the process of asset securitization under the principal-agent model,and prove the bank's risk attitudes and the distribution of the asset default losses will affect the risk of retention ratio of the sponsor requirements from the perspective of moral hazard.We take the risk aversion of the originator and the relationship between the distribution of asset default loss rate and the risk retention ratio in the asset pool into account.The results show that the single risk retention ratio is not universal,the optimal risk retention ratio and the risk-return characteristics of the underlying asset,the risk attitude of both parties are closely related.Secondly,the risk retention regulation is positively related to the risk aversion degree of the issuing institution.The proportion of the risk retention rate also depends on the asset loss rate of the asset pool.The higher average loss rate of assets,the greater the volatility of the asset default loss rate,and the higher the proportion of risk retention of institutions.Fourthly,the model designs the optimal contract and strategy of asset securitization under time-inconsistent preference.We assume that the issuer is time-inconsistent,and model optimal dynamic contract which aims at issuers are often neglected to examine the quality of assets entering the asset pool in the process of asset securitization.We examine the impact of the magnitude of the intensity default time and the degree of current time preference on the optimal execution time,the incentive cost and the average incentive cost,and analysis the impact of the asset quantity of the asset pool on the optimal execution time,the incentive cost and the agent cost.The analysis show that the contract is executed at the same time as in the case of the time preference,but the incentive fee and the agent cost are the monotonically decreasing functions of the current preference degree,which is the monotonous decreasing function of the time of the default time,and the time limit of the contract is not the same as the time preference increment function.Second,The time-inconsistent preference explains the trade-off between asset pool "risk dispersion effect" and "information cost effect",that is,under the time inconsistent preference,the asset size of the asset pool has affect on the asset securitization profit.Fifthly,we extend behavioral finance framework to model the investment decisions of decision-making managers with the ambiguity and ambiguity aversion coefficient.From a new perspective,we study the optimal capital structure problems under the uncertainty of asset yield and volatility distribution.Considering the ambiguity aversion of the decision maker,the credit asset securitization product contains the write-down bond.The effect of the degree of ambiguity aversion on the total value of the bank assets and the optimal write-down level is analyzed.It also analyzes the effect of the tax rate on the optimal write-down ratio under the ambiguity aversion degree.With the increasing of the effective tax rate,the scale of the write-down is increasing,that is,the proportion of the coupon reduction after the write-down is decreasing.These results provide a theoretical basis for the feasibility of our policy.Finally,under the framework of the simplified model,the pricing of the securitization financing instrument of the non-financial enterprise of the Start-up enterprises is discussed for the first time.Under constant non-default intensity and stochastic interest rate,we build the risk-neutral securities pricing model.We analyze the financial implications of the introduction of the third party credit guarantee to the collective securities issue and the impact of the breed of contraband on the set securities price,default probability,credit spread and guarantee value.The conclusion has a direct theoretical reference for solving the current financing problems of Start-up enterprises in China,and these results are of great practical significance to guide the rational pricing of Start-up enterprises securities.