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| 论文编号： | 6726 | |
| 作者编号： | 2120122957 | |
| 上传时间： | 2014/12/5 13:37:07 | |
| 中文题目： | 我国融资租赁资产证券化现状分析及定价研究 | |
| 英文题目： | Leasing-Backed Securitization Situation Analysis and Pricing Research | |
| 指导老师： | 王全喜 | |
| 中文关键字： | 融资租赁；资产证券化；定价；期权调整利差法；蒙特卡罗模拟 | |
| 英文关键字： | Financing lease;Asset Securitization;Pricing;Option-Adjusted Spread ；Monte Carlo Simulation | |
| 中文摘要： | 融资租赁资产证券化就是融资租赁企业将企业已操作租赁项目通过建立资产池、评级增信、分层定价等结构设计转换成可交易流动的证券进行融资的过程。目前国内对于融资租赁资产证券化的定价研究非常有限。本文对我国融资租赁资产证券化现状及已发行案例进行比较分析总结；借鉴国内外关于资产证券化定价方面的理论和模型，对融资租赁资产证券化定价模型进行比较研究，对影响定价的主要因素利率因素、提前退租偿还以及违约率相关模型进行比较分析。通过对定价影响因素及相关模型的比较分析，本文在利率期限结构模型上选择跳跃扩散模型，违约率模型选择SDA100模型，提前退租偿还模型选择PSA100模型。经过分析比较最终确定采用蒙特卡罗方法结合期权调整利差法（OAS）的定价模型对融资租赁资产证券化产品进行定价。最后运用融资租赁资产证券化定价模型对远东租赁首期融资租赁资产证券化产品进行实证分析，对融资租赁资产证券化定价模型实际定价合理性进行分析。本文认为，融资租赁资产证券化能很好地解决融资租赁公司面临的资金瓶颈问题。而解决好融资租赁资产定价问题，将为融资租赁企业在制度和外部条件具备后成功发行资产证券化奠定决定性技术基础。 | |
| 英文摘要： | Leasing-Backed Securitization（LBS） is a financial institution or other enterprises held by the lack of liquidity but can produce predictable and stable cash flow of assets through a specific structure is converted into negotiable securities to the financing process. Leasing-Backed Securitization pricing is a very important thing on the basis of the real value of the assets evaluation. In this paper, on the basis of the asset securitization pricing theories and models , to analysis Leasing-Backed Securitization status and case ,the main factors affecting the pricing of interest rate， the repayment and default ratecorrelation model. Finally through the comparison and analysis to determine the use of Monte Carlo method in combination with Option-Adjusted Spread (OAS) pricing model to price the LBS. The interest rate models are important to decide LBS cash flow as well as the accuracy of calculating the discount rate. Summing up related research results, I choose to use Jump-Diffusion model, where the jump term is subject to normal distribution as the interest rate model, to discuss the pricing of LBS.This paper chose Default rate modelchoice SDA100 model, the repayment model PSA100 model. The article thinks, LBS can well solve theproblems facing the capital bottle neck of Leasing Company. | |
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