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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。
The small loan company accounts payable guarantees as the underlying asset, research small loan companies should pay security bonds securitization pricing issues. Introducing barrier option to characterize the default of the guarantee, embedding the payment function with the nature of the bond investor in the existing securitization product pricing model, and proposing the design of the bond security product from the perspective of the investor and constructing the corresponding pricing model. Through the numerical simulation, the sensitivity analysis of the important parameters of the model - the end of the period, the market volatility and the level of initial obstacles were carried out. The study found that these parameters have a significant effect on the price of a security-backed securitized product through its effect on the level of access disorder, but the effects are not the same.