【摘要】：本文針對當前國內(nèi)金融市場上比較流行且具有趨勢性金融創(chuàng)新性產(chǎn)品--資產(chǎn)證券化產(chǎn)品進行了估值研究分析。以第三方中立的資產(chǎn)評估視角進行資產(chǎn)證券化產(chǎn)品的價值研究,而且聚焦點在于資產(chǎn)證券化中的非提前償付類的產(chǎn)品估值研究。資產(chǎn)證券化產(chǎn)品涉及的基礎(chǔ)資產(chǎn)種類較多,從價值產(chǎn)生的來源進行分類,主要分為兩大類,一類是債權(quán)貸款類的證券化產(chǎn)品,另一類是未來經(jīng)營收益類資產(chǎn)證券化產(chǎn)品。未來經(jīng)營收益類資產(chǎn)證券化產(chǎn)品底層涉及的是特定經(jīng)營項目,在中立的視角來看,不存在提前償付的問題。同理,未來經(jīng)營收益類資產(chǎn)證券化產(chǎn)品也是文中狹義上所聚焦的非提前償付類的資產(chǎn)證券化產(chǎn)品。對于兩大類型的資產(chǎn)證券化產(chǎn)品的估值研究中,主要是對非提前償付類的證券化產(chǎn)品即未來經(jīng)營收益類資產(chǎn)證券化產(chǎn)品進行估值研究和方法建模的設計,對于債權(quán)貸款類的證券化產(chǎn)品只是進行了一定的定性分析研究。針對未來經(jīng)營收益類資產(chǎn)證券化產(chǎn)品的估值方法研究,主要采用了實物期權(quán)法和梯形模糊數(shù)法的結(jié)合,簡稱模糊實物期權(quán)法。未來經(jīng)營收益類資產(chǎn)證券化產(chǎn)品的底層基礎(chǔ)資產(chǎn)即特定項目,其經(jīng)營開發(fā)具有實物期權(quán)的屬性價值。實物期權(quán)的價值測定是以二叉樹定價模型來計算的,為使參數(shù)更加準確的量化,采用了梯形模糊數(shù)法,使具有數(shù)值波動的參數(shù)能夠更合理的確定一個數(shù)值。針對未來經(jīng)營收益類資產(chǎn)證券化產(chǎn)品的估值特點分析,建立了非提前償付類的資產(chǎn)證券化產(chǎn)品價值評估模型。
[Abstract]:In this paper, asset securitization products, which are popular and trend financial innovation products in domestic financial market, are studied and analyzed. This paper studies the value of asset securitization products from the perspective of third party neutral asset evaluation, and focuses on the valuation of non-prepayment products in asset securitization. Asset securitization products involve many kinds of basic assets, which are classified from the origin of value, and are divided into two categories, one is securitization products of creditor's rights and loans, the other is asset securitization products of future operating income. In the future, the asset securitization products of operating income are concerned with specific items. From the neutral perspective, there is no problem of prepayment. Similarly, asset securitization products of future operating income are also non-prepayment asset securitization products in narrow sense. In the study of valuation of two types of asset securitization products, the valuation research and method modeling of non-prepayment securitization products, I. e., asset securitization products of future operating income, are mainly carried out. The securitization products of creditor's rights and loans are only analyzed qualitatively. In order to study the valuation method of asset securitization products of future operating income, the combination of real option method and trapezoidal fuzzy number method is mainly adopted, which is referred to as fuzzy real option method. In the future, the underlying assets of asset securitization products of operating income are specific items, which have the property value of real options. In order to make the parameters more accurate, trapezoidal fuzzy number method is used to determine a numerical value more reasonably. Based on the analysis of the valuation characteristics of asset securitization products with future operating income, a model for evaluating the value of asset securitization products is established.
【學位授予單位】：首都經(jīng)濟貿(mào)易大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51

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