本文選題：資產(chǎn)證券化　切入點：定價模型　出處：《吉林大學》2017年碩士論文　論文類型：學位論文

【摘要】：資產(chǎn)證券化業(yè)務的起源可追溯至上世紀七十年代,隨著資本市場的發(fā)展,資產(chǎn)證券化產(chǎn)品種類不斷豐富,發(fā)行總額呈指數(shù)式增長,目前已成為金融市場主體進行融資的重要工具之一,其定價模型的適用性與合理性,已經(jīng)成為影響金融市場主體融資效率的一個重要因素。值得注意的是,由于我國資產(chǎn)證券化的發(fā)展還處于起步階段,利率市場化進程尚未完成,且國外定價模型在我國的適用性有限,造成目前國內(nèi)資產(chǎn)證券化產(chǎn)品定價沒有形成統(tǒng)一的標準,降低了市場融資效率,不利于實體經(jīng)濟發(fā)展。因此,構建我國信貸資產(chǎn)證券化產(chǎn)品定價實證模型,找尋不同基礎資產(chǎn)證券化產(chǎn)品定價的影響因素,不僅可以完善資產(chǎn)證券化定價理論,而且對縮減資產(chǎn)泡沫,維持金融市場穩(wěn)定和提高資源配置效率具有重大意義。對于資產(chǎn)證券化產(chǎn)品定價的研究,國外相關學者研究重點主要集中在單只產(chǎn)品的利率期限結(jié)構上,通過蒙特卡洛模擬或因子模型優(yōu)化利率路徑與波動趨勢,最終找尋符合市場運行的定價模型,而國內(nèi)有關研究稍顯不足,且大部分研究與金融市場脫節(jié)。因此,本文首先對中美資產(chǎn)證券化發(fā)展現(xiàn)狀進行描述性統(tǒng)計分析,探求兩國證券化發(fā)展產(chǎn)生差異的原因。然后,對資產(chǎn)證券化定價模型進行梳理,論述每個模型的優(yōu)缺點與實用性。結(jié)果發(fā)現(xiàn),我國資產(chǎn)證券化產(chǎn)品無論從體量還是種類上都與美國具有一定差距,這同政府支持力度與制度完善程度密切相關;定價模型方面,受利率市場化進程限制,當前只能使用靜態(tài)利差法進行產(chǎn)品定價,未來期權調(diào)整利差法將成為趨勢。最后,基于上述總結(jié)和分析,本文以個人住房抵押貸款、消費性貸款、企業(yè)貸款和租賃資產(chǎn)為基礎資產(chǎn)的信貸資產(chǎn)證券化產(chǎn)品構建四個偏最小二乘模型,進行交互檢驗,篩選最小化因子,給出模型效應權數(shù)與因子載荷,并在此基礎上進行標準化回歸,最終給出VIP值,得出不同基礎資產(chǎn)的信貸資產(chǎn)證券化產(chǎn)品定價模型影響因素。研究發(fā)現(xiàn):票面利率與證券評級嚴格呈現(xiàn)負相關關系,與加權平均期限、債券期限嚴格呈現(xiàn)正相關關系;指導利率是影響四個模型票面利率的核心因素;個人住房抵押貸款模型受債券期限影響程度大于加權平均期限,消費性貸款模型受發(fā)起人資產(chǎn)規(guī)模與加權平均期限影響較大,企業(yè)貸款模型對于現(xiàn)金流穩(wěn)定性的要求較高,對證券評級較為敏感,租賃資產(chǎn)模型由于發(fā)展時間較短以及資產(chǎn)自身特性等因素,對于證券評級極其敏感。
[Abstract]:The origin of asset securitization business can be traced back to last 70s. With the development of capital market, asset securitization products are constantly rich in variety, and the total issuance amount is increasing exponentially. At present, it has become one of the important tools for the main body of the financial market to carry out financing. The applicability and rationality of its pricing model have become an important factor affecting the financing efficiency of the main body of the financial market. Since the development of asset securitization in China is still in its infancy, the process of interest rate marketization has not been completed, and the applicability of foreign pricing models in China is limited, the pricing of domestic asset securitization products has not formed a unified standard at present. It reduces the efficiency of market financing and is not conducive to the development of real economy. Therefore, the empirical model of product pricing of credit asset securitization in China is constructed to find out the influencing factors of pricing of different basic asset securitization products. It can not only perfect the pricing theory of asset securitization, but also reduce the asset bubble, maintain the stability of financial market and improve the efficiency of resource allocation. Foreign scholars mainly focus on the interest rate term structure of a single product. Monte Carlo simulation or factor model is used to optimize the interest rate path and volatility trend, and finally to find a pricing model that conforms to the market operation. However, the domestic research is not enough, and most of the studies are out of touch with the financial market. Therefore, this paper first makes a descriptive statistical analysis of the current situation of asset securitization between China and the United States, and explores the reasons for the differences in the development of securitization between the two countries. This paper combs the pricing model of asset securitization, discusses the advantages and disadvantages and practicability of each model, and finds that there is a certain gap between China's asset securitization products and the United States in terms of volume and type. This is closely related to the degree of government support and the perfection of the system. In the pricing model, due to the process of interest rate marketization, we can only use the static spread method to price the products at present, and the option adjustment method will become the trend in the future. Based on the above summary and analysis, this paper constructs four partial least squares models of credit asset securitization products based on personal housing mortgage, consumer loans, enterprise loans and leased assets, and carries out interactive tests. Screening the minimization factor, giving the weight of the model effect and factor load, and on the basis of which the standardized regression is carried out, and finally the VIP value is given. The factors influencing the pricing model of credit asset securitization products with different basic assets are obtained. The results show that the coupon rate is negatively correlated with the securities rating strictly, and it is positively correlated with the weighted average maturity and the bond maturity. The guiding interest rate is the core factor that affects the par interest rate of the four models. The personal housing mortgage model is more affected by the bond maturity than the weighted average term, while the consumer loan model is greatly affected by the sponsors' asset size and the weighted average term. The enterprise loan model requires higher cash flow stability and is more sensitive to the securities rating. The leasing asset model is extremely sensitive to the securities rating because of the short development time and the characteristics of the assets themselves.
【學位授予單位】：吉林大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51;F832.4

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1 李波;宋e，

本文編號：1578690