A Case Study On Pricing Of Asset-Backed Securities In Hexiang's Fifth Period Of Personal Consumption Loan In 2017

The development of asset securitization has brought tremendous impetus to China's capital market.With the continuous enrichment of the basic assets of securitization,more and more assets are packaged into securities to improve their liquidity.In recent years,China's residents have been enriching their lives,and the corresponding types of consumption have become increasingly diverse.It is precisely because of the continuous improvement of household consumption and the gradual improvement of the concept of consumer finance in China.It is also due to the vigorous development of China's consumer financial market that consumer asset-backed securities begin to attract people's attention.However,from the current domestic development of asset securitization,it is still in the initial stage,and some problems facing the market can not be ignored.Among them,the most important one is the irrationality of pricing,which affects the development of asset securitization to a certain extent.Reasonable pricing is the key to ensure the smooth issuance and normal circulation of asset securitization,and is also the first step of investor investment analysis,so the pricing problem is particularly important.On this basis,this paper reviews the pricing literature at home and abroad in recent years,and finds that due to the late start of asset securitization in China and the lack of relevant pricing research,the article starts with pricing as the grasp,and conducts a case study.The object of study here is to select the first single-cycle asset securitization with full statement of bills issued by installments,that is,the hedonic series issued by China Merchants Bank.Through the introduction and analysis of this case,it is found that when pricing asset-backed securities,it only uses the balance of the asset pool to price,failing to take account of the cash flow of the underlying assets and the change of the related interest rates,and the pricing method is too rough.Based on this,this paper analyzes the reasons through this problem,that is,to sum up the factors affecting pricing in the case,to explore its pricing ideas.In order to make a more reasonable pricing,this paper argues that the combination of cash flow adjustment and Monte Carlo simulation can take into account the impact of prepayment rate and default rate on cash flow as well as the change of interest rate itself.The theoretical results of pricing are compared with the actual amount of pricing,and the difference between them is analyzed concretely.Finally,in order to better price the consumer asset securitization in the future,according to the pricing analysis of the previous actual case,we can get some enlightenment for the future asset securitization pricing and the development of the market in China.