The Empirical Study On Pricing The Risks Of Non-standard Debt Asset

In recent years, because of the increase in the requirements of the bank loan, the non-standard debt project as an alternative financing way of bank credit have developed rapidly, the scale of which is continuously growing. With the development of non-standard assets, related investment also brought a lot of risks. From the point of view of institutional investors, it has become an important topic to reasonably assess and price the risks of non-standard assets. In this paper, we study the pricing mechanism of non-standard assets from different financial institutions, including trust and debt investment plans of insurance asset management companies. We first introduced the theory of non-standard risk asset pricing, including the mainstream credit risk analysis method, e.g. financial analysis and KMV, and made a summary on current research at home and abroad. This paper starts from the practice, in terms of the risk assessment of non-standard assets, analyzes two real non-standard projects in detail, analyze their risks from the transaction structure, project level solvency, debtor level solvency, measures of credit enhancement etc., and the rationality of their pricing is also analyzed. Compared with bonds, due to poor liquidity, there is no active secondary market for non-standard debt asset, and the transaction structure is more complex, the pricing of which need to take liquidity premium, credit premium and transaction structure premium etc. into consideration. This paper establishes the linear regression model of non-standard debt asset’s pricing and spreads analysis across various debt assets, to analyze various factors influencing non-standard asset’s yield, such as credit rating, maturity, capital price, and make empirical study on non-standard asset’s pricing. From the results, the selected factors including credit rating, repayment period and risk-free interest rate can effectively explain the pricing level of non-standard assets.