北京航空航天大学学报(社会科学版) ›› 2014, Vol. 27 ›› Issue (4): 82-87,120.DOI: 10.13766/j.bhsk.1008-2204.2013.0494

• 经济与管理 • 上一篇    下一篇

附加保函的应付款资产支持证券定价研究——一个基于无套利原理和风险减值因子的定价模型

汤正洪, 何建敏, 韩扬   

  1. 东南大学经管学院, 江苏 南京 211189
  • 收稿日期:2013-10-30 出版日期:2014-07-25 发布日期:2014-07-23
  • 作者简介:汤正洪(1968-),男,江苏淮安人,博士研究生,研究方向为风险管理。

Study on Pricing of Payment Guarantee Securitization:Based on No Arbitrage Theory and Impairment Factors of Risk

Tang Zhenghong, He Jianmin, Han Yang   

  1. School of Economics & Management, Southeast University, Nan Jing 211189, China
  • Received:2013-10-30 Online:2014-07-25 Published:2014-07-23

摘要: 以附加保函的应付款资产为例,研究了短期资产证券化的定价问题。将应付款资产与保函的全部现金流作为证券化的基础资产,在分析其主要风险暴露的基础上,将风险因素转化为证券化产品价值的减值因子,并根据无套利原理构建了适用于短期资产支撑证券的定价模型。定价模型不以相同或相似证券的价格作为计算基础,只需调整模型的风险减值因子和重新预测无风险利率,即可实现重新或多次定价。运用CIR模型与蒙塔卡罗模拟进行仿真案例实验,实验表明模型对短期资产证券化的定价结果在可接受的范围内。

关键词: 应付款保函, 资产证券化, 无套利理论, 风险减值因子, 蒙特卡罗模拟, CIR模型

Abstract: Taking letter of guarantee payable to attach assets as an example, the paper analyzes the pricing issues of short-term asset-backed securities. The paper suggests all the cash flows of letter of guarantee and payable be made as the underlying assets and risk factors be changed into the impairment factors of the value of securities through the analysis of its major risk exposures. This paper constructs a pricing model of payment guarantee securitization according to the no arbitrage principle. This model not only well describes the characteristics of guarantee payment security, but also need s no reliance on the reference price or risk rate. Using the model of CIR and Monte Carlo simulation, the simulation case of the pricing results is within the acceptable range.

Key words: payment guarantee, asset backed securitization, no arbitrage theory, risk factors for impairment, Monte Carlo simulation, CIR model

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