Credit Assets Securitization Of The Commercial Bank And The Pricing Method Analysis

Credit assets securitization is an important financial innovation, which was originated from the securitization of house mortgage loan of America. Now, in developed countries, it is getting more perfect in contents and structure. It also developed very rapidly on the region, and has become the widely accepted financing tool.In our country, many scholars have talked a lot about this technology, but relevant case and practice have never come. At present, it is saving up strength to develop, but as a new thing, there are certain obstacles in the course of development. This needs government, commercial banks, investment institutions and investment banks, etc. to know more about its operational process. But first, we should know the pricing method of security.Here the author draws lessons from foreign mode and puts forward the corresponding suggestion about our country's credit assets securitization according to our country's present state. I also use the corresponding model to carry on quantitative research to the pricing of the securitization, expecting to help the development of the securitization to some extent in the qualitative and quantitative respect.The creation of the article is to analyze the new mode of the Credit assets securitization of our country, combining the Option-Adjusted Spread and other models to analyze the new method of the pricing in the process of the securitization.This text explains the credit assets securitization from six respects mainly, the first part generalizes the credit assets securitization, and introduces its definition, characteristic, necessity and realistic meaning in our country; The second part has analyzed the key principle and basic principle of the assets securitization, and has analyzed its condition to operate; The third part analyzes the international mode of assets securitizations, and puts forward the reference of the mode of our country; The fourth part analyzes the core content of securitization, the pricing method of the securitization; The fifth part puts forward the corresponding suggestion to the obstacles that our country exist at present.In the quality respect, I analyze the problem of the commercial bank at present, and analyze the function of the credit asset securitization in the solving of these problems. From the analysis of the securitization modes in the developed countries, I draw the conclusion and get the construction of our country according to our country's condition. Then put forward the suggestion to develop this financial tool according to the obstacles in the process of developing the credit asset securitization in our country.The pricing method analysis is a key and complex step in the process of the securitization, I pay more attention to the analysis of it according to the character of the repayment ahead of time and the fluctuation of the interest. First I analyze the different pricing methods of the ABS, and then research the basic price method according to the assets of china bank at present. The pricing model revolves the calculation of the discount rate, So according to the difference of the risk degree of the assets which makes the assets pool, I use capital assets pricing models to get the predicted return rate as the discount rate, and use static cash flow discount method to get the issuing prices of security. As to the price of each period, I use the prepaying model and interest rate dynamics model, then get the price of the security by using the cash flow and corresponding interest rate orbit which is got by the models mentioned above.Jiang Tao (Finance) Directed by Hu Yanjing...