中小企业信贷资产支持证券的定价研究

发布时间：2018-10-09 12:54

【摘要】：本文首先对比了直接融资、间接融资和证券化融资三种方式，选取三个指标：融资成本、融资到位率、融资主体自由度，，通过定性分析的方法论证了信贷资产证券化是解决中小企业融资难的有效途径，它不仅具备了债权融资低成本的优点，也有着较高的资金使用效率，另外它还可以增加融资主体的自由度，因此有着相对其他融资途径而言效率更高的优势。由于定价是资产证券化研究中不能忽视、也是最为关键的环节，所以本文将对SME-CLO的研究的重心落脚在了定价研究。在简要介绍了中小企业信贷资产支持证券的运作模式、梳理了现有的设计方案后，本文详尽的讨论了目前资产支持证券（ABS）定价的各个方法对中小企业资产支持证券定价的利弊，并针对中小企业信贷资产池现金流的两大特点：1.提前还款率稳定在一个较低值；2.违约是影响现金流的主要因素，在完美资产池的前提假设下，构建了均衡定价模型专门针对中小企业信贷资产支持证券的违约风险进行了定价。最后，对均衡定价模型进行了蒙特卡洛仿真模拟，得出结论：贷款利率波动率相比于无风险利率波动率，是决定中小企业信贷资产支持证券中违约风险价值的更为重要的变量，因此，在利率市场化的情境中，将证券化贷款的贷款利率波动率放在更重要的地位进行考虑以减少违约风险是至关重要的。
[Abstract]:This paper first compares the three ways of direct financing, indirect financing and securitization financing, and selects three indicators: financing cost, financing arrival rate, the degree of freedom of financing subject. Through qualitative analysis, it is proved that credit asset securitization is an effective way to solve the financing difficulties of small and medium-sized enterprises. It not only has the advantages of low cost of creditor's rights financing, but also has a high efficiency in the use of funds. In addition, it can increase the degree of freedom of the financing subject, so it has the advantage of higher efficiency compared with other financing channels. Since pricing is the most important and important link in asset securitization research, this paper focuses on the research of SME-CLO. After briefly introducing the operation mode of SME credit asset-backed securities and combing the existing design schemes, this paper discusses in detail the advantages and disadvantages of each method of asset-backed securities (ABS) pricing for SMEs. And in view of the small and medium-sized enterprise credit asset pool cash flow two major characteristics: 1. The prepayment rate is stable at a lower value of 2. 5%. Default is the main factor affecting cash flow. Under the premise of the perfect asset pool, the equilibrium pricing model is constructed to price the default risk of credit asset-backed securities of small and medium-sized enterprises. Finally, the equilibrium pricing model is simulated by Monte Carlo simulation, and it is concluded that the volatility of loan interest rate is a more important variable to determine the value of default risk in SME credit asset-backed securities than that of risk-free interest rate volatility. Therefore, in the situation of interest rate marketization, it is very important to consider the volatility of loan interest rate of securitization loan in order to reduce default risk.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F276.3;F832.4

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