Study On Credit Asset Securitization Product Pricing In China

The origin of asset securitization business can be traced back to the last century in 70 s,after thirty years of development,enrich the variety of products,issuing a total of exponential growth,it has become one of the important tools of the financial market financing,the pricing model of the applicability and rationality,has become one of important influencing factors of financial stability.It is worth noting that the asset securitization in China are in the initial stage of development.The slow current interest rate market,the limited foreign pricing model of applicability and the old pricing model of the domestic made the financial sector entities inefficient and lay huge hidden risk for financial stability.Therefore,constructing China's credit asset securitization products pricing model and finding out the reasons of influence on the pricing of different asset types of products not only can improve the asset securitization pricing theory but also is of great significance for the real financial sector transport giant and maintaining financial stability,reducing asset bubble.Research on Asset Securitization Product Pricing,foreign scholars mainly focus on the term structure of interest rates on a single product and use the fluctuation of interest rate path by Monte Carlo simulation or optimization factor model,finally find accord with the pricing model of the operation of the market,while the domestic related research is insufficient,and most of the research and the real financial markets.Therefore,firstly this paper uses the theory to analyze and summarize the current situation of the development of Sino US asset securitization products.Then,on the basis of theoretical analysis,we select one of the most representative of the four types of credit asset securitization products,constructed partial least squares empirical models,to find the influencing factors of different types of asset based credit in China financial market and substantial conclusion.First of all,the theoretical analysis is to sort out the current situation of the development of asset securitization in China and the United States as the starting point,to sum up the reasons for the differences,to sort out the existing asset securitization pricing model,to discuss the advantages and disadvantages of the model and the applicability of the model.The results show that the asset securitization products in China in terms of volume or types have a certain gap with the United States,with the support of the government efforts to perfect this system and inseparable;pricing model,the process of marketization of interest rates,the current can only use static spread method in product pricing,the future will become the trend of oas.Then,on the basis of theoretical analysis,the personal housing mortgage loans,consumer loans,business loans and leasing assets for the construction of four partial least squares model based assets,gives the model the effect of weight and load factor by cross validation,minimizing screening factor,do basis of standard regression and calculate VIP value.The study found that: the coupon rate and the securities rating strictly negatively related,and weighted average term strictly positive correlation;guiding interest rate as the core factors affecting four model nominal interest rates;personal housing mortgage loan model is influenced by the degree of bond term which is greater than the weighted average maturity,consumer loan model influenced by the promoters of assets the scale and the weighted term is larger,higher requirements of enterprise loan model for steady cash flow,is sensitive to the securities rating model of leased assets due to the short time of development,its nature and the assets for the securities rating higher properties are extremely sensitive to the securities rating.