Research On Pricing Of Internet Consumer Financial Assets Securitization Products

The Internet consumer finance entities consist of electronic business or e-business,news start-ups of in this field and so on.Compared with traditional banking and consumer finance,Internet consumer finance business has weaknesses regarding its finance channels and cost of capital.In order to be more competitive in the industry and meet the demand of business development,effective measures must be taken to improve the level of comprehensive competition and maintain high operational efficiency of the capital.In recent years,Internet consumer finance entities use diversified financing tools to strengthen their financing ability to construct the platform,among which the most important financing tool is asset securitization.In this context,it is of vital importance that the entities understand how to carry out scientific product design and choose an appropriate way to price asset securitization products.This essay chooses the Internet consumer finance receivables as the basic asset pool for asset securitization,and take JD White strip” ABS as an example to establish a pricing model,thus,conducting an in-depth analysis on the asset securitization of China's Internet consumer finance.There are three parts of this paper.First,it is found that potential risks of Internet consumer finance's asset securitization display four aspects in high default risk,the high uncertainty of early repayment,the low correlation of default,and the dispersion of small loans.Second,using Monte Carlo method and Copula,this essay builds a single factor default model to delineate the characteristics of the risk of default,and reveal the effects of early repayment to cash flow.Meanwhile,the researcher resorts to the CIR model to see the changes in discount rate,and therefore create a pricing model for the asset securitization of Internet consumer finance.This research proves that the pricing model is feasible since the price listed in the model is close to the ticket price.Third,this paper explores how above-mentioned four risks of Internet consumer finance influence the pricing of security.It comes out that with the increase in default rate,the price of security drops,and the internal credit enhancement mechanism can effectively hedge this effect.Moreover,high early repayment rate will lead to the depreciation of security to its face value,and investors will face high re-investment risk.In this case,the clause of buying the products in cycle can offset the influence to some extent.Finally,the low correlation of default and the dispersion of small loans is conducive to reduce unexpected risks,and will impact the price of the security,need to be classified discussion.When the security is heavily discounted,these two factors will make the price fall,whereas,the price rise when the security is near its face value..Combining Monte Carlo method and Copula function,this essay studies the pricing model of the asset securitization of Internet consumer finance.It also analyses the risk factors of asset securitization of Internet consumer finance,how they influence the pricing mechanism.In the model construction,the portrayal of Internet consumer finance default behavior has been expanded,which is of reference for the design and risk management of Internet consumer financial asset securitization products.