Research On Pricing Of Chuying 2021-Ⅰasset Securitization Of Personal Consumer Loan

In recent years,the field of consumer finance has integrated technologies such as big data and artificial intelligence.Especially after the new development pattern of "dual circulation" was proposed,it has developed rapidly with the support of policies.The market players are diverse,and Internet consumer finance companies,e-commerce platforms,and banks are all seizing the market in order to maximize benefits.However,due to the small amount and short duration of consumer credit and the strict measures issued by the government.Market entities,especially Internet consumer finance companies,are generally faced with problems such as shortage of funds and low asset operation efficiency.The emergence of asset securitization can effectively resolve the above problems.In view of the slow development of asset securitization in my country,the relevant policies and regulations are still unclear.In order to promote the operation and development of asset securitization in the consumer financial market,the pricing of related products seems to be very important.This article takes the personal consumption loan ABS issued by Hubei Consumer Finance Co.,Ltd.,a licensed consumer finance institution,as an example.Different from banks and e-commerce platforms,this paper analyzes the transaction structure,financing motivation and risk factors of its product issuance,focusing on product pricing.Through the optimization of the pricing method,to provide a reference for the future pricing of similar products,and put forward targeted suggestions.This paper selects Chuying 2021-Ⅰ personal consumption loan ABS as a research case.The research contents are as follows: First,through the reading of a large number of literatures,it analyzes the research of domestic and foreign scholars on the effect analysis and pricing of consumer financial asset securitization.It shows that the development of my country’s asset securitization market is not yet mature.Second,it draws the characteristics of small amount and short duration of consumer financial assets through the case,and focuses on the analysis of the motivation,transaction structure and pricing-related risk factors of asset securitization.Thirdly,it compares four pricing methods commonly used in asset securitization products,comprehensively considers the term structure of interest rates,and sets default rates and prepayment rates based on cases;uses CIR model to calculate future forward rates,and uses MATLAB Carry out the simulation of the interest rate path,and convert the expected spot interest rate in each period;select the OAS value as the product risk premium,and use the option adjustment spread method to price the product.Fourth,there is no big gap between the pricing result and the issue price,and it is slightly higher than the issue price,but the gap is not large,which shows that the selection of the method,the setting of the model and the estimation of the parameters have certain practical significance.The sensitivity analysis is carried out on the prepayment risk and default risk,which have a great impact on pricing,and it is concluded that with the increase of the default rate,the product price will gradually fall and fall below the par value,and the increase of the prepayment rate will make the product price converge towards face value,and synergies will improve cash flow shortfalls caused by default risk.