Research On The Pricing Of Asset-Backed Securities Of Financial Leasing Based On Monte Carlo Simulation

Financial leasing companies use asset securitization as an important way to enrich financing structure and broaden source of funds. Asset securitization is of great significance to break through the bottleneck and enhance the profitability. With the deepening of Chinese financial innovation and the deregulation of asset securitization in China since 2012, we expect that the issuance of asset-backed securities will become one of conventional manners to raise funds for the financial leasing companies.Based on the research achievements in asset-backed securities at home and abroad, we chose asset-backed Securities of financial leasing as the research object and the pricing of asset-backed Securities of financial leasing as the research emphasis. We discussed the connotation, extension and pricing methods of asset securitization, and expounded Chinese financial leasing asset securitization situation and development tendency. Then we analyzed the significance of promoting financial leasing asset securitization and selected three typical cases of the financial leasing asset-backed securities to discuss the core elements of financial leasing asset-backed securities:underlying assets, bankruptcy remoteness, credit enhancement and pricing methods in China. Then select the three main factors affecting the pricing of financial leasing asset-backed securities:interest rates, prepayment rates and default rates. We proposed CIR interest rate model, default rates model and prepayment rates model, and used Monte Carlo simulation to calculate the price for the financial leasing asset-backed securities.Then take the "Far East leasing companies' second phase of financial leasing asset-backed securities in 2015" as an example to empirical the Pricing Model. Considering prepayment and default, we found that empirical results may be larger than the net issuance scale of securities. Then we also analyzed the specific causes of higher pricing of the result. Finally, based on the actual results, we summarized the market environment, the participants, the underlying assets, the credit enhancement and the asset pricing of Chinese financial leasing asset-backed securities; and make suggestions for improving market environment, enriching participants, managing underlying assets, improving the bankruptcy isolation and optimizing pricing policy of issuing.The main innovations of this paper are as bellows.1. The research subject is locked to the pricing of financial leasing asset-backed securities, which enriches the financial leasing asset-backed securities in domestic academic circles.2. It pointed out financial leasing asset-backed securities pricing has not been achieved in the strict sense in Chinese actual operation.