Research On Pricing For Structured Financing Products

The pricing theory is the key factor of the structural financing operation. whether its appropriate pricing, will directly affect the structure financing operation success or failure. Based on this result, this article analysis from the domestic and international structured finance pricing on the basis of the theory expounded by transfer pricing, pricing and structural financing operation processes.The authors engage in good faith in the experience of structured finance experience, straightened out structure financing pricing mentality.This paper will be the first article of introducing structure financing in China, the first article of making the discrimination between structural financing and asset-backed securitization; the first article of systemly expositing structured the pricing of structural financing .I hope that this paper will be able to provide a more comprehensive reference for participants of structural financing market and play an active role in the development of China's structural finance market.The paper consists of five chapters:Chapter one which is the part of introduction, explains the research background and purpose, and briefly reviews the structural financing research in home and aboard. It also clearly purposes the research approach and the way of thinking, and puts forward some possible innovations.Chapter two the outline of structured financing and structured financing products .Firstly it introduced the definition of structure financing and establish definitly distinction between structured financing and asset securitization. Then introduce the main structure financing products and the structure financing operation flow in detail.Chapter three the pricing of structure financing products at first, introduce the main pricing theory in the home and abroad,and make analysis and comparison of the various effects in the transfer pricing, try to explain the interaction of different nature assets in the transfer pricing,pointed out the questionas that need to consider and solutions in the process of the format asset packages. The pricing process consists of four process: determine the term structure ofinterest rate;prepayment model; the discounting of cash flow and pricing. I offer own viewpoint on the discount rate of static cash flow yield model,introduce the model of option adjusted spread;and analysis the advantages and disadvantages of option adjusted spread. Then analysis different model advantages and disadvantages points, and give the certain improvement comment.Chapter four the empirical research on the pricing of structural financing products Take the MBS of Chinese Construction Bank as the example,use the option adjusted spread model and monte carlo model to do the empirical research with establish the M documents.Chapter five concludes the research process and findings of this paper and points out limitation of the paper study, put forward continuous research directions.