Risk Pricing Research For Credit Asset Securitization In China

Prime Minister Li points out:"to support the real economy development by activating stock credit". Asset securitization, direct financing and debt restructuring is likely the primary means to activate the monetary credit stock. And securitization of credit assets could be reduced to a great extent of bank capital adequacy pressure, reduce its ongoing spill-over effect brought by capital market financing;also through asset securitization will bank loans convert into the direct financing, could adjust the proportion of direct financing and indirect financing, and improve the financial system risk. However, regardless of how credit asset securitization develop, how to identify and analyze the risk involved, and use the appropriate pricing method, is the core and key.Using qualitative analysis method, model analysis method and case analysis method,this paper summerizes the various risk in the process of credit asset securitization in our country, then discusses the application problem of pricing methods in our country combined with several common pricing methods, finally respectively use static-spread method and Monte Carlo simulation method to assess the value of the specific basic assets pool.The paper is divided into six parts.The first part is the introduction part, including background and significance of choosing topic,research framework and literature review;the second part is basic theory of credit asset securitization, mainly introducing the basic concept, core principle,main varieties,participating subjects,transaction process,key designing points,etc.;the third part is the pricing methods of credit asset-backed securities, we mainly introduce the static-spread method,two binary tree pricing method and option-adjusted spread method,and discuss the application problem of pricing method of credit asset securitization in our country combining these methods;the fourth part is the risk analysis of credit assets-backed securities, according to the time order(pricing before and after),we summarize the various risk in the process of issuing credit asset-backed securities. The fifth part is the risk pricing of credit assets-backed securities, in this part, we mainly study the effect of prepayment risk, interest rate risk on security pricing according to the previous research results and the nature of basic assets, and then we use the static spread method, option-adjusted spread method repectively to assess the value of the specific asset pool.Our pricing results show that:although due to the differences of pricing principle, parameter estimation and spread option, there are differences of pricing results using these two methods, but these two methods can both be used in pricing practices; the sixth part is the conclusion and prospect, we draw a conclusion that the static-spread pricing method is more suitable for China’s current reality, but with the gradual implementation of interest rate liberalization, the use of Monte Carlo-simulation pricing method will be a broad trend.Because the current issued credit asset-backed securities do not release details of the basic asset pool, previous pricing research are mostly based on the simulative asset.In this paper,we construct a specific basic asset pool based real credit asset data of A bank,and conduct a comparative pricing using static-spread method and option-adjusted spread method,hoping to provide some reference to the pricing of credit assets-backed securities.