| Currently,China has become the second largest asset securitization issuance market in the world with the continuous growth of the issuance scale of asset-backed securities.Among them,it is worth noting that auto mortgage-backed securities are the second largest type of asset-backed securities besides personal housing mortgage-backed securities,and its issuance scale and stock scale are considerable.However,it must be admitted that the secondary trading market of asset-backed securities in China is not yet active at this stage,and the reasonable price cannot be reflected through the secondary market transactions.Instead,measurement models and tools are used to evaluate their valuation as a reference for investment and pricing.Regrettably,it is found that there is little research on the valuation of auto mortgage-backed securities by collating the literature.Therefore,this article decides to carry out the valuation research of auto mortgage-backed securities,which will undoubtedly be a powerful supplement to the existing valuation research of asset-backed securities.In this paper,on the basis of introducing the basic theory of asset-backed securities,the existing research literature is combed and reviewed.Secondly,China’s auto mortgage-backed securities are theoretically analyzed.Specifically,the development of auto mortgage-backed securities in China is introduced at first;subsequently,through the analysis of the risk of auto mortgage-backed securities,an appropriate measurement model to calculate the prepayment rate,default rate,interest rate and other factors affecting the valuation of auto mortgage-backed securities is determined;and then,different valuation models are analyzed and compared combined with the characteristics of auto mortgage-backed securities.Furthermore,the valuation empirical was carried out based on the model of choice in the case of SAIC-GM mortgage-backed securities.Finally,corresponding countermeasures and suggestions are put forward on the basis of theory and empirical research.Through the research,this paper holds that it is necessary to scientifically choose the measurement model of factors such as prepayment rate,credit default rate,interest rate and so on when using the discounted cash flow method to value automobile mortgage-backed securities.The accuracy of cash flow prediction will affect the degree of deviation between the estimated price and the actual value,so this paper introduces the neural network model to train and learn the relevant data in the valuation demonstration.After verification,it is found that the cash flow predicted by this method is closer to the actual situation,which makes the estimated price more truly reflect the intrinsic value of securities.In addition,in the selection of valuation model of automobile mortgage-backed securities,both static spread model and Monte Carlo model use reasonable discount rate to discount cash flow.Among them,the static spread model is based on historical data to fit the market risk-free interest rate to get the discount rate,while the Monte Carlo model takes into account the volatility of market interest rates during the duration of securities.Through the verification of the valuation of an example,it is found that the valuation result of the Monte Carlo model is better than that of the static spread model.Finally,the corresponding suggestions are proposed from three aspects: product valuation,product design and system construction.In terms of product valuation,issuers should timely and actively disclose important information such as prepayment rate and default rate,which will not only enhance investors’ confidence in buying securities,but also help investors to estimate securities prices more accurately;secondly,the yield curve of auto mortgage-backed securities should be regarded as the benchmark yield curve to determine the discount rate.In terms of product design,the screening criteria of automobile mortgage loans should be improved so as to reduce the default risk of basic assets;in addition,the hierarchical structure design of automobile mortgage securitization products should also be optimized to reasonably disperse and transfer product risks.While in terms of system construction,two solutions are given: one is to improve the credit risk rating quality of asset-backed securities,and the other is to continue to promote the construction of fair value-related systems to provide guidance for the valuation of asset-backed securities. |
