Product Analysis And Pricing Study Of Automobile Loans Asset-Backed Securities

This thesis considers the product characteristics and pricing methodology of automobile loans asset-backed securities in China.Firstly,this thesis describes the macroenvironment and market needs for this product,suggesting it will head for new opportunities in near future with the support by Chinese regulators.Secondly,the whole process of securitization of automobile loans is constructed based on the collateral traits and regulatory requirements in China.Thirdly,the methodology and rationality of the pricing model is demonstrated and Monte Carlo simulation back test is done by pricing one representative product---Rongteng II auto ABS.The model is considered to be effective for pricing automobile loans asset-backed securities as well as making the investment and risk management decisions.The key extensions and innovations of this thesis are that the model could price floating-rate asset-backed securities;the values of asset-backed securities could change over time by different distribution of prepayment and default patterns;the product could be a key solution to the problem of automobile finance companies in China.