Game Analysis Of Risk And Pricing Research Of Assets Securitization

The financial crisis started in 2007 to combat the global financial markets, and makes the world economy continues to decline up to now. Governments have introduced a rescue package to stimulate economic growth. The product of financial innovation-subprime mortgage loan securitization appeared in the 70 years last century is the chief culprit of the financial crisis. The rating agencies played fueled role in the meantime. The financial markets of our county are in a stage of vigorous development, asset securitization in China is still a young product, as an important financing tool which has broad prospects for development. The outbreak of this crisis warned us:the research and control of asset securitization's risk is particularly important. The research of the risk control methods and pricing is of great practical significance, and will provide a guiding role to practical operation.This paper has five parts:the first part is an introduction the background to the study of this article with the domestic and international literature review. The second part describes the relevant theory of asset securitization. Part III is risk analysis in the process of asset securitization. My article focuses on the sub-prime related products, the formation mechanisms and to analyze the operational risks of asset securitization for the original asset quality risk and third-party risks in this part. Part IV is the pricing of asset securitization on the use of credit rating transition matrix. Part V contains conclusions and further research directions.This paper has three innovations:Firstly, it analysis the quality of the underlying asset according to principal-agent theory and build a principal-agent model between the asset sale and securitization of investment. Secondly, with the help of game theory and show the ideological principles the article designs a mechanism model to restrict the third-party. Finally, using the income capitalization principle, the econometrics and application of stochastic processes in the transfer matrix approach, the article builds a theory pricing models to medium-term credit asset securitization products.