基于非提前偿付类的企业资产证券化产品估值方法研究
发布时间：2018-08-08 10:38
【摘要】：本文针对当前国内金融市场上比较流行且具有趋势性金融创新性产品--资产证券化产品进行了估值研究分析。以第三方中立的资产评估视角进行资产证券化产品的价值研究,而且聚焦点在于资产证券化中的非提前偿付类的产品估值研究。资产证券化产品涉及的基础资产种类较多,从价值产生的来源进行分类,主要分为两大类,一类是债权贷款类的证券化产品,另一类是未来经营收益类资产证券化产品。未来经营收益类资产证券化产品底层涉及的是特定经营项目,在中立的视角来看,不存在提前偿付的问题。同理,未来经营收益类资产证券化产品也是文中狭义上所聚焦的非提前偿付类的资产证券化产品。对于两大类型的资产证券化产品的估值研究中,主要是对非提前偿付类的证券化产品即未来经营收益类资产证券化产品进行估值研究和方法建模的设计,对于债权贷款类的证券化产品只是进行了一定的定性分析研究。针对未来经营收益类资产证券化产品的估值方法研究,主要采用了实物期权法和梯形模糊数法的结合,简称模糊实物期权法。未来经营收益类资产证券化产品的底层基础资产即特定项目,其经营开发具有实物期权的属性价值。实物期权的价值测定是以二叉树定价模型来计算的,为使参数更加准确的量化,采用了梯形模糊数法,使具有数值波动的参数能够更合理的确定一个数值。针对未来经营收益类资产证券化产品的估值特点分析,建立了非提前偿付类的资产证券化产品价值评估模型。
[Abstract]:In this paper, asset securitization products, which are popular and trend financial innovation products in domestic financial market, are studied and analyzed. This paper studies the value of asset securitization products from the perspective of third party neutral asset evaluation, and focuses on the valuation of non-prepayment products in asset securitization. Asset securitization products involve many kinds of basic assets, which are classified from the origin of value, and are divided into two categories, one is securitization products of creditor's rights and loans, the other is asset securitization products of future operating income. In the future, the asset securitization products of operating income are concerned with specific items. From the neutral perspective, there is no problem of prepayment. Similarly, asset securitization products of future operating income are also non-prepayment asset securitization products in narrow sense. In the study of valuation of two types of asset securitization products, the valuation research and method modeling of non-prepayment securitization products, I. e., asset securitization products of future operating income, are mainly carried out. The securitization products of creditor's rights and loans are only analyzed qualitatively. In order to study the valuation method of asset securitization products of future operating income, the combination of real option method and trapezoidal fuzzy number method is mainly adopted, which is referred to as fuzzy real option method. In the future, the underlying assets of asset securitization products of operating income are specific items, which have the property value of real options. In order to make the parameters more accurate, trapezoidal fuzzy number method is used to determine a numerical value more reasonably. Based on the analysis of the valuation characteristics of asset securitization products with future operating income, a model for evaluating the value of asset securitization products is established.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51
[Abstract]:In this paper, asset securitization products, which are popular and trend financial innovation products in domestic financial market, are studied and analyzed. This paper studies the value of asset securitization products from the perspective of third party neutral asset evaluation, and focuses on the valuation of non-prepayment products in asset securitization. Asset securitization products involve many kinds of basic assets, which are classified from the origin of value, and are divided into two categories, one is securitization products of creditor's rights and loans, the other is asset securitization products of future operating income. In the future, the asset securitization products of operating income are concerned with specific items. From the neutral perspective, there is no problem of prepayment. Similarly, asset securitization products of future operating income are also non-prepayment asset securitization products in narrow sense. In the study of valuation of two types of asset securitization products, the valuation research and method modeling of non-prepayment securitization products, I. e., asset securitization products of future operating income, are mainly carried out. The securitization products of creditor's rights and loans are only analyzed qualitatively. In order to study the valuation method of asset securitization products of future operating income, the combination of real option method and trapezoidal fuzzy number method is mainly adopted, which is referred to as fuzzy real option method. In the future, the underlying assets of asset securitization products of operating income are specific items, which have the property value of real options. In order to make the parameters more accurate, trapezoidal fuzzy number method is used to determine a numerical value more reasonably. Based on the analysis of the valuation characteristics of asset securitization products with future operating income, a model for evaluating the value of asset securitization products is established.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51
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相关期刊论文 前7条
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