保函证券化设计与定价——基于投资者视角

Design and Pricing for Guarantee Securitization— Based on the Perspective of Investors

以小贷公司应付款保函为标的资产,研究小贷公司应付款保函证券化的定价问题。引入障碍期权刻画保函的违约特征,在现有证券化产品定价模型中嵌入具有保函投资者特性的支付函数,提出基于投资者视角的保函证券化产品设计并构建相应的定价模型。通过数值仿真对模型中的重要参数——期末时间、市场波动率和初始障碍水平,进行了灵敏度分析。研究发现,通过对触及障碍水平概率的作用,这些参数对保函证券化产品的价格产生显著影响,但影响效果不尽相同。

Guarantee securitization is an important application of asset securitization theory, which can increase liquidity for small loan company. In this paper, barrier option is introduced to describe the default features. And payment [unction with features of guarantee investors is embedded in the present asset securitization pricing model. Afterwards, pricing model for guarantee securitization is built from the view of investors. Sensitivity analysis is performed on closing time, market volatility and the level of the initial obstacles which are the three important parameters in the model through simulation experiments. Simulation results show that the parameters impact the price of guarantee securitization significantly with different effects by affecting the probability of barrier level.