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Rational Model for Pricing Securities Issued by Securitizing Assets

资产证券化发行证券定价的合理模型

基本信息

批准号：
14530117
负责人：
KISHIMOTO Naoki
金额：
$ 1.02万
依托单位：
Hosei University
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (C)
财政年份：
2002
资助国家：
日本
起止时间：
2002 至 2003
项目状态：
已结题

来源：
https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-14530117/
关键词：
CMO Securitization of assets CDO Option pricing model Path dependent securities Supplementary variables 証券化 MBS

项目摘要

In general, securitization refers to the issuance of securities backed by a pool of assets, such as loans, leases, and accounts receivables (labeled "underlying assets"), where the cash flows from these assets are paid to the holders of the securities as either interests or principals. The major contribution of this study is to propose a rational model for pricing such securities where multiple types of securities are issued backed by a single pool of assets.The main feature of this valuation model is to explicitly account for variations in cash flow due to prepayments and defaults on the underlying assets. The prior studies valued securities issued by securitization by Monte Carlo simulation that is based on a function estimated on prepayment data. By contrast, this study first constructs a rational model for the asset holder's decision on prepayment and second lays out a framework for valuing securities issued by securitization based on the rational model for prepayments. This study shows that the proposed valuation method outperforms the prior method in computational complexity.

一般而言，证券化是指发行由贷款、租赁和应收账款(标的资产)等资产池支持的证券，来自这些资产的现金流作为利息或本金支付给证券持有人。本研究的主要贡献在于提出了一种合理的定价模型，该模型的主要特点是明确考虑了因标的资产的提前还款和违约而引起的现金流的变化。以往的研究是通过蒙特卡罗模拟对证券化发行的证券进行估值的，这种模拟是基于提前还款数据估计的函数。相反，本研究首先构建了资产持有人提前还款决策的理性模型，其次在提前还款理性模型的基础上给出了证券化发行证券的估值框架。研究表明，该方法在计算复杂度上优于已有方法。