京东白条应收账款债权资产证券化风险与定价研究

发布时间：2018-05-18 08:30

本文选题：资产证券化 + 京东白条应收账款债权资产支持证券专项计划　；参考：《上海外国语大学》2017年硕士论文

【摘要】：随着我国证券市场的不断成熟,资产证券化越来越为国内接受,资产证券化产品层出不穷,商业贷款、应收账款、费用等多种资产证券化产品应用而生。而我国应收账款所占比重之大严重制约了公司的发展,因此不少公司选择采用应收账款资产证券化来进行融资,目前看来这种证券化的融资方式发展迅速,如果可以控制风险因素势必为我国资本市场注入流动性,带动经济的发展,但目前国内学者对此类问题尤其是应收账款风险问题研究甚少,所以本文的研究具有理论价值和现实意义。首先本文对京东白条应收账款资产支持证券进行了系统的阐述,得出京东白条应收账款资产支持证券计划确实存在风险需要关注,然后对京东白条应收账款债权资产证券化案例的参与方风险、交易结构风险和融资风险进行了详细的论述;最后用期权调整利差模型对京东白条应收账款优先02级资产支持证券进行定价分析,定价结果与市场价相仿,因此这项研究不仅支持了上述案例中风险的论述,也创造性的为京东应收账款资产支持证券产品提出模型定价建议;最后,根据前文对案例风险的分析和定价结果,为京东利用应收账款债权资产证券化融资中存在的风险提出了防范建议。
[Abstract]:With the maturity of China's securities market, asset securitization is becoming more and more accepted in China. The products of asset securitization come into being one after another, such as commercial loans, accounts receivable, expenses and other asset securitization products. However, the large proportion of accounts receivable in our country seriously restricts the development of companies, so many companies choose to use accounts receivable asset securitization to finance. At present, it seems that this kind of securitization is developing rapidly. If risk factors can be controlled, liquidity will be injected into the capital market of our country, and the development of economy will be promoted. However, at present, there is little research on this kind of problem, especially on the risk of accounts receivable. Therefore, the study of this paper has theoretical value and practical significance. First of all, this paper has carried on the systematic elaboration to the JingDong whitestrip receivable asset support securities, and has obtained that the JingDong whitestripe accounts receivable asset backed securities plan really has the risk to need to pay attention to. Then it discusses the risk of participants, the risk of transaction structure and the risk of financing in the case of securitization of creditor's rights of JingDong whitebar accounts receivable. Finally, the option adjusted interest margin model is used to analyze the pricing of JingDong white-striped asset backed securities of priority class 02, and the pricing results are similar to the market price. Therefore, this study not only supports the discussion of risk in the above cases, Also creatively put forward the model pricing suggestion for JingDong receivable asset-backed securities products. Finally, according to the previous case risk analysis and pricing results, Some suggestions are put forward for JingDong to make use of the risk in the securitization of accounts receivable.
【学位授予单位】：上海外国语大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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