Research On The Non-performing Assets’ Pricing

After the four financial asset management companies established in China, how to achieve "one thousand ways to maximize recovery, one thousand ways to reduce the disposal cost", how to take effective way to dispose the non-performing assets, is the real problem of the four asset management companies. For how to take effective way to dispose the non-performing assets, the key is assessing pricing problem. This article gives the bad assets pricing model by analyzing the relationship between banking, asset management companies(that is AMC) and purchasers.This article is divided into six chapters. The first chapter of the article introduces the research background, purpose, significance, research ideas and innovations. The second chapter introduces the basic theory of non-performing assets. It mainly includes the definition of non-performing assets, the definition of non-performing asset pricing as well as the existing of non-performing asset pricing methods and influencing factors. The third chapter introduces the existing of non-performing pricing model. It gives the pricing model by taking the state of the non-performing assets, the price factor, macro to micro factors, options, securitization, stocklization into consideration. The fourth chapter discusses the non-performing assets’ pricing model of seller based on Beta-PERT distribution which depend on the non-performing assets pricing model of buyer’s. This chapter proposes a rapid liquidation value as value basis, and combined with the real option value, introduction of Beta-PERT distribution to fit the probability distribution of the disposal price of non-performing assets, and sets up bank to sell non-performing assets pricing decision model of single. A numerical example is given to show the application of the model and the solution process. The fifth chapter introduces the pricing model based on multidimensional game between the buyers. First we can divide non-performing assets into three categories, and only two classes have the sale value. And two buyers’ non-performing assets’ pricing model which use static multidimensional game is used as an example to discuss this two kinds of non-performing assets. the optimal solution which is also called the equilibrium solution is given. Then considering the purpose of buying non-performing assets is in order to dispose non-performing assets better, we put non-performing assets into three categories which include debt-to-bonds, debt-to-equity swap, securitization. Still taking two buyers as an example, we use the static multidimensional game model to construct the reasonable pricing model. Equilibrium solution is also given. Finally a numerical example is given to show the application of the model and the solution process. The sixth chapter introduces the game between the price of AMC. By adopting a certain game strategy, AMC as player and buyer as bidder reach Nash equilibrium method and finally determine a way according to price paid. Constructing the auction pricing model, and analyzing the equilibrium solution.