Research On Pricing Optimization Of Green Asset Securitization

Under the background of the continuous deepening of the "carbon peaking and carbon neutrality goals",the green asset securitization market has developed rapidly,showing strong growth potential.However,our green asset securitization market is still in its infancy,and the complete pricing system has not yet formed.The current pricing method is not different from that of general asset securitization products,which may not reflect its unique financing advantage.As environmental problems become more serious,how to reasonably price such products and guide social funds to the green sector has become an increasingly prominent problem.Therefore,this paper takes the pricing of green asset securitization as the object of study,trying to find out the pricing scheme suitable for the green asset securitization products in our country.Based on the research of previous scholars,this paper summarizes the factors that affect the price of green asset securitization products,including the risk of interest rate changes、the default risk、early repayment risk and its unique environmental benefits.On the basis of referring to the existing pricing methods of asset securitization products and measurement methods of environmental benefit,this paper sorts out the following theoretical path,that is,using the option adjustment spread method and B-S model to optimize the pricing of green asset securitization products,and believes that the pricing scheme can comprehensively consider the factors affecting the value of green asset securitization products.In order to verify the feasibility and rationality of this scheme,this paper selected 21 Shengshi Rongdi Phase II green asset securitization products as the case for pricing research.Firstly,the theoretical price of the product is 99.97 yuan under the static spread method.Secondly,the optimization scheme of this paper is used to price the current product.The ABS prepayment model,CIR model and other models are used to predict the premature risk,default risk and interest rate risk of the product,and the price of the product under the option adjustment spread method is obtained.Then,the B-S model is used to measure the environmental benefit of the product,and finally the theoretical price of the product under the optimization scheme is 111.28 yuan.The research result shows that the theoretical price of the product is 0.03%lower than the par value under the baseline case,while the theoretical price of the product is 10% higher than the par value under the optimal pricing scheme.Therefore,based on the above results,this paper draws the following conclusions: Firstly,at present,green securitization products have shown their financing advantages to a certain extent.Secondly,considering the risk of early repayment,default risk,term structure of interest rate and environmental benefits of products,the theoretical price is higher than the par value.At present,the financing advantages of green securitization products have not been fully reflected in the market.Thirdly,the prevailing pricing method is not applicable to the pricing of green securitization products,and the optimized pricing scheme in this paper has certain reference significance.Based on the above conclusions,this paper proposes to further optimize the pricing of green securitization products from the aspects of standardizing the information disclosure of green securitization products,establishing a complete supporting system,cultivating investors’ green investment concepts,innovating pricing methods,etc.,so as to make the pricing results of such green financial products more reasonable and promote finance to serve the green industry better.Boost the realization of the goal of "double carbon".