| The process of the securitization of credit assets is divided into three stages in China:In 2005, China started the pilot work. In 2008, it entered the four years of stagnation stage. In 2012, the new development was coming. According the recovery, its development speed and the scale can’t be ignored. In 2015, because of the good rate environment, stock market and the conversion mode of bank, it expected this year could reach over 500 billion. At present, China’s study on the securitization of credit assets, from the content point of view, focuses on the operation mechanism and operation process; from the method, focusing on qualitative research. It is not an in-depth study on the quantitative and pricing model. So it is very important to study the present situation and the pricing model credit of asset securitization.Firstly, according to current situation of the development of China and the United States, this paper contrasts and analysis the current situation of the development, pricing model, ABS product case. Secondly, introduces the pricing model, including Static Cash Flow Yield, Static Spread, Option Adjusted Spread. And analysis of advantages and disadvantages. Finally,I introduce an improved model, And the simulation the pricing process of SS,improved method by an example.The improved model in simulation, compared with the current pricing model, to make up for the lack of original model, show the better pricing effect. Finally, through the analysis of above two chapters, It puts forward suggestions for the development of credit asset securitization. |
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