我国资产证券化及定价研究

我国资产证券化及定价研究

我国资产证券化及定价研究

摘要

伴随国际金融衍生品和金融创新的深化，国内金融市场的成长，我国的资产证券化经过十年的孕育终于破茧新生。有关资产证券化产品的深入研究变得致关重要，本文对定价方法的选择进行研究分析。

对国内外资产证券化历史的回顾让我们清晰的了解资产证券化产生的根源和意义；通过对产品进行分类，明确了不同品种资产证券化产品之间的区别和各自特征，同时也为选择适合的定价方法提供依据；资产证券化产品的正确定价则影响到产品顺利发行、产品交易的活跃程度、流动性、构建投资组合。

（一）文中全面的介绍了我国资产证券化从萌芽到真正意义上的资产证券化产品的完整历程，认识到国内资产证券化发展的实践早于理论、我国的离岸资产证券化获得率先发展、我国的早期资产证券化多是基础设施项目的ABS，以上几个特点印证了我们经济改革初期资金短缺，融资渠道不畅通，以及对融资和健全金融市场的迫切需求。也反映了我国资产证券化与美国资产证券化产生基础不同。

（二）通过资产证券化的定义揭示了其本质――－为适应市场需求，实现融资、获取收益，改变固有的现金流结构，构建出新的现金

流分配。指出现金流是定价的基础；

（三）归纳了对资产证券化定价具有根本影响的六个因素――利率、利率波动率、提前偿付、利率期限结构、流动性和信用增级。详细阐述了各个因素的作用机制和相互之间的关系，同时也介绍了国外经典的定价模型及其优缺点的比较，为选择定价方式奠定理论基础。

（四）运用实证分析方法，通过蒙特卡罗模拟对建行MBS产品进行定价，并结合发行说明书对利率曲线的选择、提前偿付率的选择、现金流的确定、贴现率的确定，市场利差的确定都进行了详细的分析。定价与现实紧密结合对投资具有指导意义。

并有结论，我国目前没有提前偿付、违约等有效经验数据及完善的定价模型，影响了对资产证券化产品现金流的判断，影响了资产证券化产品的正确估值，是交易清淡的重要原因；结合市场现有债券和资产证券化产品的具体情况，通过模拟利率曲线，利用模特卡罗模拟进行定价对现实投资具有指导意义。

关键词: 资产证券化，现金流，利率曲线，定价

ABSTRACT

With the competing and challenging of foreign financial institution, the Asset-backed Securitization (ABS) products of China was born after ten years' development. In this situation, the development process、sorting and pricing become more important than ever. To research the history of ABS, different characteristic of all kinds of products can be distinguished , and suitable pricing method can be used.

In chapter one, the first real ABS product of China signify that practice of ABS is early than theory in china. The offshore ABS products has founded the development of china's ABS system. So most early ABS products is from fundamental projects.

In chapter two, the definition of ABS has indicates that ABS can change original structure of cash flow to new allocation . So ABS supply a new financing channels to obtain investment returns. To sorting from different aspect is significance in pricing. The credit enhancement of ABS products is a core process which can promote the grade and issuing price of ABS.

The credit enhancement also promote liquidity, change structure of cash flow and influence discount factors.

In chapter three, the paper shows that interest rates、interest rates volatility、prepayment、term structure of interest rates、liquidity and credit enhancement is the most important factors in ABS pricing. The relation and interaction of these factors is basic theory in pricing.

Chapter four is empirical research part. The paper set up pricing model by Mento Carlo simulation method, and prices the Construction Bank MBS. The paper also illuminates selection process of interest rates curve、prepayment rates and determination of cash flow、discount rates、OAS. This pricing method can be used in trading. The determination of OAS and yield provides evidence for investers to construction Portfolio by comparing with other fixed-income securities.

In the end, the conclusion is that lacking of experience data about prepayment and default result in estimating to cash flow and pricing to ABS. According to existing bond market, it is significant that pricing with interest rates simulation and Mento Carlo simulation to guide investment in practice.