我国信贷资产证券化产品定价研究

发布时间：2018-03-07 08:37

本文选题：资产证券化　切入点：定价模型　出处：《吉林大学》2017年硕士论文　论文类型：学位论文

【摘要】：资产证券化业务的起源可追溯至上世纪七十年代,随着资本市场的发展,资产证券化产品种类不断丰富,发行总额呈指数式增长,目前已成为金融市场主体进行融资的重要工具之一,其定价模型的适用性与合理性,已经成为影响金融市场主体融资效率的一个重要因素。值得注意的是,由于我国资产证券化的发展还处于起步阶段,利率市场化进程尚未完成,且国外定价模型在我国的适用性有限,造成目前国内资产证券化产品定价没有形成统一的标准,降低了市场融资效率,不利于实体经济发展。因此,构建我国信贷资产证券化产品定价实证模型,找寻不同基础资产证券化产品定价的影响因素,不仅可以完善资产证券化定价理论,而且对缩减资产泡沫,维持金融市场稳定和提高资源配置效率具有重大意义。对于资产证券化产品定价的研究,国外相关学者研究重点主要集中在单只产品的利率期限结构上,通过蒙特卡洛模拟或因子模型优化利率路径与波动趋势,最终找寻符合市场运行的定价模型,而国内有关研究稍显不足,且大部分研究与金融市场脱节。因此,本文首先对中美资产证券化发展现状进行描述性统计分析,探求两国证券化发展产生差异的原因。然后,对资产证券化定价模型进行梳理,论述每个模型的优缺点与实用性。结果发现,我国资产证券化产品无论从体量还是种类上都与美国具有一定差距,这同政府支持力度与制度完善程度密切相关;定价模型方面,受利率市场化进程限制,当前只能使用静态利差法进行产品定价,未来期权调整利差法将成为趋势。最后,基于上述总结和分析,本文以个人住房抵押贷款、消费性贷款、企业贷款和租赁资产为基础资产的信贷资产证券化产品构建四个偏最小二乘模型,进行交互检验,筛选最小化因子,给出模型效应权数与因子载荷,并在此基础上进行标准化回归,最终给出VIP值,得出不同基础资产的信贷资产证券化产品定价模型影响因素。研究发现:票面利率与证券评级严格呈现负相关关系,与加权平均期限、债券期限严格呈现正相关关系;指导利率是影响四个模型票面利率的核心因素;个人住房抵押贷款模型受债券期限影响程度大于加权平均期限,消费性贷款模型受发起人资产规模与加权平均期限影响较大,企业贷款模型对于现金流稳定性的要求较高,对证券评级较为敏感,租赁资产模型由于发展时间较短以及资产自身特性等因素,对于证券评级极其敏感。
[Abstract]:The origin of asset securitization business can be traced back to last 70s. With the development of capital market, asset securitization products are constantly rich in variety, and the total issuance amount is increasing exponentially. At present, it has become one of the important tools for the main body of the financial market to carry out financing. The applicability and rationality of its pricing model have become an important factor affecting the financing efficiency of the main body of the financial market. Since the development of asset securitization in China is still in its infancy, the process of interest rate marketization has not been completed, and the applicability of foreign pricing models in China is limited, the pricing of domestic asset securitization products has not formed a unified standard at present. It reduces the efficiency of market financing and is not conducive to the development of real economy. Therefore, the empirical model of product pricing of credit asset securitization in China is constructed to find out the influencing factors of pricing of different basic asset securitization products. It can not only perfect the pricing theory of asset securitization, but also reduce the asset bubble, maintain the stability of financial market and improve the efficiency of resource allocation. Foreign scholars mainly focus on the interest rate term structure of a single product. Monte Carlo simulation or factor model is used to optimize the interest rate path and volatility trend, and finally to find a pricing model that conforms to the market operation. However, the domestic research is not enough, and most of the studies are out of touch with the financial market. Therefore, this paper first makes a descriptive statistical analysis of the current situation of asset securitization between China and the United States, and explores the reasons for the differences in the development of securitization between the two countries. This paper combs the pricing model of asset securitization, discusses the advantages and disadvantages and practicability of each model, and finds that there is a certain gap between China's asset securitization products and the United States in terms of volume and type. This is closely related to the degree of government support and the perfection of the system. In the pricing model, due to the process of interest rate marketization, we can only use the static spread method to price the products at present, and the option adjustment method will become the trend in the future. Based on the above summary and analysis, this paper constructs four partial least squares models of credit asset securitization products based on personal housing mortgage, consumer loans, enterprise loans and leased assets, and carries out interactive tests. Screening the minimization factor, giving the weight of the model effect and factor load, and on the basis of which the standardized regression is carried out, and finally the VIP value is given. The factors influencing the pricing model of credit asset securitization products with different basic assets are obtained. The results show that the coupon rate is negatively correlated with the securities rating strictly, and it is positively correlated with the weighted average maturity and the bond maturity. The guiding interest rate is the core factor that affects the par interest rate of the four models. The personal housing mortgage model is more affected by the bond maturity than the weighted average term, while the consumer loan model is greatly affected by the sponsors' asset size and the weighted average term. The enterprise loan model requires higher cash flow stability and is more sensitive to the securities rating. The leasing asset model is extremely sensitive to the securities rating because of the short development time and the characteristics of the assets themselves.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F832.4

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