2016 4^th Kaiyuan ABS Pricing Research

Credit loans asset-backed securities are a kind of collateralized debt obligation(referred to CDO)product that transforms the bank's credit loans lack of liquidity into a securities with a high liquidity by reorganizing the income and risk of the credit loans asset pool.China's asset securitization market has been developing rapidly since its restart in 2012,especially in credit loans asset-backed securities.Since 2012,the annual issuance scale has grown at a rate of 776%.By the end of 2016,its outstanding size has reached RMB 469 billion.However,China's credit loans asset securitization market in the development process exsists some problems,especially pricing issues.At present,China's credit asset-backed securities in the distribution process mainly rely on inquirying,the lack of theoretical support,which makes the product price deviation from the actual value,on the other hand reduce the enthusiasm of investors,resulting in banks mutually holding serious,greatly weakened the product's function of improving the liquidity of bank assets.Based on the above factors,this paper reviews the classic credit risk pricing theory and CDO pricing theory,taking the fourth phase of Kaiyuan credit asset support securities in 2016 as an example to carry out credit asset support securities pricing research.In this paper,we use the reduced model of credit risk pricing theory to analyze the credit risk of single credit assets.We use Copula method to analyze the default between credit assets.The Monte Carlo method is used to simulate the default distribution of credit assets pool.The simulation results show that,due to the proportion of equity and middle layer being higher and the credit quality of credit assets into the pool being better,the difference between the simulated price and market price of 2016 KaiYuan 4A is significant.Under the condition of considering the relevant taxes and fees,The simulated price for 2016 KaiYuan 4B is slightly higher than the market price and may be related to the simplification of the relevant parameters.Besides,the results of the student t-Copula function are more in line with the market price.