Research on the pricing of guarantee-backed securities based on Monte Carlo simulation

摘要

The guarantee is an important content of bank credit guarantee system and banks hold large amounts of guarantee assets lack of liquidity. Along with the increasingly serious international economic and financial environment, the financial institutions are faced with hard constraints of liquidity. It is necessary to create the liquidity and revitalize the guarantee asset in the case of lack of liquidity for domestic and international financial institutions.Now the asset securitization research mainly focus on the assets with long-term and high risk,few papper researches guarantee assets with short-term and low risk.Based on this,the paper will research the pricing of guarantee securitization.Because of autocorrelation and ARCH effects of financial time series, the AR(1)-AR(9)-AR(22)-T-EGARCH(1,1) Vasicek model is built to solve the parameters of dynamic interest rate model and the Monte Carlo simulation is used to solve the pricing of guarantee-backed securities in this paper. The research shows that the pricing of the guarantee-backed securities has the characteristics of path-dependent, so lots of simulations are needed to be made to reduce the errors; And because of the shorter term of guarantee assets, financial institutions should make great efforts to develop guarantee business to fill and replace the assets of the guarantee asset pool and maintain the stability of cash flow. The research not only extends the theory of asset securitization pricing, but also has important practice significance on the implementation of the guarantee securitization for commercial banks and other financial institutions.