Asset Securitization Pricing Model Of Credit Loans

In this paper we focus on the pricing of credit asset securitization.Combines the SPV model and OAS(Option-Adjusted-Spread)method to improve the shortcomings of OAS method.More accurate to pricing the credit assets securitization.Credit assets as the basis for issuance of asset securitization enhanced the liquidity of the assets,and the improved pricing models can contribute to the development of asset securitization.This paper compares the Static Cash Flow Yield(SCFY),Static Spread(SS),OAS and the improved pricing model,OAS method can comprehensively consider inerest rates as much as possible so that the pricing results can reflect the true situation.Improved pricing model based on OAS method,taking into account macroeconomic indicators and the probability of default of debtor.This makes the model better.But limited to the range of time,the improving model has a good effect for the pool of assets consisting of short-term loan.Improving model can be accurate pricing it.