Research On Pricing Of Internet Consumer Financial Asset Securitization

Since 2010,Internet consumer finance has experienced explosive growth,which has played a positive role in stimulating the growth of consumer consumption in China.With the proposal of national dual-cycle strategy,Internet consumer finance will play a more important role in stimulating national economic growth in the future,and its market scale will further expand.However,the Internet consumer finance platform also has the difficulty of "financing is difficult and financing is expensive" in the development of Internet consumer finance business.The adoption of asset securitization,an exogenous financing channel,to raise liquidity funds is conducive to achieving the goal of reducing cost and increasing efficiency.In-depth analysis can effectively guide the benign development of Internet consumer finance business and has important practical significance.Based on the realistic analysis of the market,this paper selects the typical product of Internet consumer finance ABS--Ant Huabie ABS for specific analysis of pricing.In order to make the pricing results more convincing,considering the important influence of the issuer’s industry status,this paper selects Jingdong Baitiao ABS,an Internet consumer finance ABS product issued during the same period,for comparative analysis of pricing.In terms of specific operation,this paper firstly analyzes the influencing factors of pricing from the theoretical level,and introduces the mainstream pricing methods and models and their comparative analysis,finally,this paper decided to use CIR model to simulate the term structure of interest rates,monte Carlo simulation method to simulate the path of interest rates,and finally get options adjusted spreads.The error between the pricing result and the real value is very small,which indicates that the pricing model constructed in this paper is effective.In order to further verify the effectiveness of the pricing model,this paper also uses static cash flow discounting method to compare and analyze the pricing of asset-backed securities.The results show that the error rate of the pricing model constructed in this paper is much lower than that of static cash flow discount method,and more in line with the reality.Finally,based on the analysis of this paper,five suggestions are put forward for the development of Internet consumer finance ABS.