Pricing Optimization Plan For Financial Leasing Asset Securitization Products

In recent years,with the implementation of national support policies,China's leasing industry has been developed rapidly.Finance lease connects the financial industry and the real economy.As a typical assetintensive enterprise,it is developing and expanding rapidly in China owing to its huge capital scale and channel resources.However,China's financial leasing industry is still in the development stage,and the problem of limited financing and high cost has not been solved,so it is urgent to find new financing channels.With the deepening of China's economic restructuring and financial sector reform,the advantages of asset securitization,an innovative financing tool,are increasingly prominent.By means of leasing assets securitization,the leasing cash flow with the characteristics of poor liquidity but is stable and predictable can be packaged and converted into marketable securities by leasing companies,which has a significant advantage over other financing channels.At present many domestic scholars research on financial lease asset securitization,but mostly focused on the basic theory of asset securitization,for product pricing research is relatively small.Therefore,this paper mainly explores suitablity for optimization of domestic financial lease asset securitization market pricing,and the protection of the rights of securitization participants and investors.Based on the domestic analysis of asset securitization pricing,this dissertation believes that interest rate fluctuations,prepayment behavior and the risk of default to the value of the asset-backed securities will cause the impact on the option,adjustment of simulated by interest rate spreads and cash flow analysis,finally calculate the theoretical value of the asset securitization comprehensively.Based on the pricing design idea of option adjustment dispersion method,the single-factor term structure model of interest rate is firstly established,and the Monte Carlo model is used to simulate the forward volatility of interest rate,so as to obtain enough interest rate paths.Then an appropriate quantitative model is established according to the historical data to evaluate the probability of early repayment and default rate in different periods.Finally,the benchmark interest rate simulated by the path and the OAS spread value obtained by trial and error method are added as the discount interest rate of future cash flow to calculate the appraisal value of the asset securitization project.To verify the rationality and feasibility of the pricing schemes,with the ‘19 Suezu Green 1' phase of the ABS products as examples,and ideally the static assessment of the value obtained by discount cash flow method,and takes into account the above behavior and the risk of default to early repayment options to adjust spreads method to calculate the theoretical value of the contrast,this dissertation examines the rationality of this optimization scheme,according to the factors may cause deviation of the empirical results,and discuss a more accurate model for the future direction of development.