基础设施收费权资产证券化模式的定价研究

发布时间：2018-03-10 11:52

本文选题：资产证券化　切入点：资产支持证券　出处：《国际贸易经济合作研究院》2017年硕士论文　论文类型：学位论文

【摘要】：基础设施建设的推进程度对于经济发展有着基础性的决定作用,随着城镇化建设的推进,城市各项基础设施将面临巨大的市场需求,需要大额的资金投入。而传统的基础设施项目融资方式都面临着或大或小的问题,资产证券化作为一种新兴的融资工具为基础设施项目提供了一条新的融资渠道。在资产证券化的整体流程中,对于基础资产的定价和发行产品的定价是资产证券化最为核心的环节。而在基础设施资产证券化领域,目前尚缺乏系统的定价模型。故本文先研究了在基础设施领域施行资产证券化的必要性和可行性:从我国基础设施建设项目的建设和融资情况、基建项目传统融资方式的缺陷、资产证券化模式的优势,三个角度,分析必要性;从基础资产的适用性、证券化实施条件和证券产品市场前景三个方面分析可行性。随后在研究了常用的几种资产支持证券(Asset-Backed Security,以下简称ABS)定价模型的基础上,结合以往学者对于基础设施收费权ABS定价的研究,搭建出了具有实用性和创新性的基础设施收费权ABS产品的定价模型。具体创新性体现在:选择贴现率时,选用整条到期收益率曲线,使得该模型同样适用于一年多次付息、非固定期限付息的情况;引入了ABS产品分级定价的思路,使定价模型更加贴合实际情况;运用同一债项评级信用债券的平均Z利差估计信用利差,较以往学者采用通过CAPM模型估计的风险溢价代替信用利差和通过蒙特卡洛方法模拟利率走势估计信用利差,提供了一种新思路。并在最后利用宁夏A电力开发有限公司的数据,运用上述建立的定价模型,设计出了一套基础设施收费权资产证券化的融资方案,在实例模拟的过程中证明了本文搭建的定价模型的科学性、可操作性和现实意义。
[Abstract]:The level of infrastructure construction plays a fundamental and decisive role in economic development. With the development of urbanization, urban infrastructure will face huge market demand. Large amounts of money are needed. And traditional infrastructure projects are faced with problems, big or small. As a new financing tool, asset securitization provides a new financing channel for infrastructure projects. The pricing of basic assets and the pricing of issued products are the core links of asset securitization, and in the field of infrastructure asset securitization, At present, there is no systematic pricing model. So this paper first studies the necessity and feasibility of asset securitization in the field of infrastructure: from the situation of construction and financing of infrastructure construction projects in China, the defects of traditional financing methods of infrastructure projects, The advantages of the asset securitization model, three angles, the necessity of analysis, the applicability of the basic assets, This paper analyzes the feasibility of securitization from three aspects: the implementation conditions of securitization and the market prospect of securities products. Then, on the basis of studying several commonly used asset-Backed Security (ABS) pricing models, Combined with the previous research on infrastructure fee right ABS pricing, a practical and innovative pricing model of infrastructure fee right ABS products is built. The whole yield curve of maturity is chosen to make the model suitable for the case of multiple interest payment in one year and non-fixed term interest payment. The idea of ABS product grading pricing is introduced to make the pricing model more suitable to the actual situation. The average Z spread of credit bond with the same debt rating is used to estimate the credit spread. Compared with the former scholars, the risk premium estimated by CAPM model is used to replace the credit spread and the Monte Carlo method is used to simulate the trend of interest rate to estimate the credit spread. In the end, using the data of Ningxia A Electric Power Development Co., Ltd and the pricing model mentioned above, a set of financing scheme of securitization of infrastructure charge right assets is designed. The model is proved to be scientific, feasible and practical.
【学位授予单位】：国际贸易经济合作研究院
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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