信贷资产证券化产品定价研究

摘要

在当前国内经济增长放缓的大背景下，通过资产证券化的方式盘活流动性差的资产，可以增强整体经济的流动性，缓释银行的存量信用风险。资产证券化产品作为复杂的信用衍生品，在国内仍处于试点阶段，产品价格的准确计量，对发行方和投资者都有很重要的意义。通过对一款产品特点的分析，选取适合的模型和处理方法给出模型定价，并对目前阶段资产证券化产品的市场推广提出建议。%In the background of slowdown in domestic economic growth, it is a feasible approach to en-hance the liquidity of assets and mitigate credit risks in the banking system by means of asset securiti-zation. Asset securitization, as a type of complicated credit derivative, is still in pilot stage in China. Pricing the product accurately is of great importance to both the issuers and the investors. In this paper, we select appropriate models and methodologies to price a credit asset securitization product, and make suggestions about market promotion of this kind of products.