Research On Pricing Method Of PPP Asset Securitization

In order to relieve financial pressure,solve financing difficulties and transform government functions,the public-private Partnership(PPP)has been widely explored and applied in China.In recent years,China's infrastructure construction and public service products have increasingly adopted PPP mode,and project financing has become a key factor for the effective development of projects.There are bank loans,government subsidies,bonds,funds,asset securitization and other financing methods.Asset securitization is an important means to solve the financing difficulty,financing and living assets of PPP projects.The pricing of asset securitization of PPP project is the key to the success of PPP project asset securitization.However,domestic and foreign scholars have done little research on the asset securitization of PPP projects,and have not formed a complete pricing system.Mainly there are three kinds of methods: static cash discount method,static spreads,options,adjust the spreads,the three traditional pricing methods for the PPP project assets securitization pricing exist all kinds of limitations.Therefore,how to make a more accurate pricing analysis of PPP project asset securitization is an important factor to promote the asset securitization of PPP projects.To solve this problem,this paper adjust options carry method,through the monte Carlo model forecast interest rate path,the use of KMV model to measure credit risk analysis,and through the case analysis for the construction of analysis of the pricing model for validation.This paper is divided into two parts,theoretical research and practical application.In terms of theoretical research,through comparative analysis,firstly,the relevant literatures are reviewed,and the current situation and development prospect of PPP mode and PPP asset securitization are analyzed and studied.Second,the traditional asset securitization pricing methods are introduced,analysis the advantages and limitations of the traditional pricing method,combining with the characteristics of PPP asset securitization correction options to adjust the cause of the spread method,build the PPP asset securitization pricing model,through the monte Carlo model tosimulate interest rate path,using the KMV model to measure credit risk,combining the two,finally determine the revised options adjust spreads method of model parameters.Finally,the paper analyzes the adjusted interest rate difference method,and introduces the advantages of the modified spread method to asset securitization pricing by combining the other two traditional methods.The results of theoretical research show that the adjusted interest rate difference method is more accurate considering the influence of interest rate path and risk factors.In practical application,case analysis is used in this paper.It is a case of Yangzhou guarantee housing asset securitization project.Example,this paper introduces the Yangzhou housing trade structure of asset securitization project,the main participating institutions,the underlying asset situation,product structure,the credit enhancement measures,the interest rate path analysis and prediction of other parameters in the model to forecast and analysis,respectively using the method of correction option adjustment spreads,static cash discount method,the static spread method,to Yangzhou housing product pricing analysis of asset securitization project.Through the comparison of three kinds of pricing method,based on the study of theoretical research and practical application results and final conclusions,adjust spreads the revised options pricing method is suitable for the PPP project assets securitization products,and the accuracy is higher than the other two traditional pricing method.