Rational Model for Pricing Securities Issued by Securitizing Assets

一般来说，证券化指的是发行由资产池支持的证券，如贷款、租赁和应收账款（标记为“基础资产”），其中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证券定价模型，其中多种类型的证券由单一资产池支持发行。这种估值模型的主要特点是明确考虑了由于基础资产的提前支付和违约而导致的现金流量变化。以往的研究都是基于提前还款数据估计函数的蒙特卡罗模拟法对证券化发行的证券进行估值。相比之下，本研究首先构建了资产持有人提前支付决策的理性模型，其次构建了基于提前支付理性模型的证券化发行证券估值框架。研究表明，本文提出的估值方法在计算复杂度上优于现有的估值方法。

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.