Research On The Pricing Factors And Models Of Credit Asset-backed Securities

With the continuous expansion of credit asset-backed securities,the study on the pricing of credit asset-backed securities has become an important subject in the credit securities market.At present,the main pricing method of credit asset-backed securities is based on the estimation of loan early repayment rate and default rate,and the value is determined by discounting the expected future cash flow.Due to the incomplete accumulation of China's credit historical default data and the unfinished process of interest rate liberalization,the estimated data of China's loan early repayment rate and default rate are biased,and this pricing method is not suitable for the development of China's credit asset-backed securities at this stage.This paper analyzes the relevant theories and classification of credit asset-backed securities and puts forward the pricing problem that credit asset-backed securities need to solve urgently.Then,the paper comprehensively compares the conditions,advantages and disadvantages of the existing pricing methods of credit asset-backed securities,and expounds the reasons why the current pricing methods are not applicable in China.The main factors influencing the pricing of credit asset-backed securities are studied.Based on the LossCalc multiple regression model,the main pricing factors are analyzed quantitatively,and explores the new thinking of credit asset-backed securities pricing from the two dimensions of securities' own and macroeconomic factors.In this paper,1511 cases of credit asset-backed securities issued between 2012 and the first quarter of 2019 are selected as samples to study the pricing of factors.Taking the issuing interest rate of credit asset-backed securities as the explained variable,on the basis of 10 securities' own factors,5 macro-economic factors are added,and 15 factors in total are taken as the explanatory variables.The pricing between the issuing interest rate of credit asset-backed securities and the above main pricing factors is obtained by using the methods of grouped multiple linear regression,multiple collinearity and heteroscedasticity test regression equation.Empirical analysis results show that:(1)The overall explanation of the factors of securities to the issuing interest rate of credit asset-backed securities is relatively low,show that lack of credit asset backed securities pricing in China for the measurement of the structure and basic underlying assets credit securities,securities inherent differences can't be accurately reflected in the price,easy to make the risk spread through the form of asset securitization,Chinese edition credit crisis.Among them,the influence of annualized early repayment rate and default rate on the issuance interest rate is not significant,which is inconsistent with the actual theory,which further indicates that the pricing method of estimating discount of early repayment rate and default rate is not applicable to the special stage of China's credit securities market at present.There is a significant correlation between the issuing subject's interest payment mode and the issuing interest rate.(2)The explanation of macro-economic factors to the issuing interest rate of credit asset-backed securities is high,among which GDP,market interest rate,money supply,stock market,treasury bond income are all positively correlated with the issuing interest rate.It shows that in the pricing of credit asset-backed securities,the measurement of macroeconomic risk in pricing is fully considered.(3)As a multi factor model,LossCalc model has a high explanation ability for the issuing interest rate of credit asset-backed securities on the premise of fully considering the risk of securities itself and macroeconomic risk.The innovation of this paper mainly includes the following three aspects:First,in terms of model selection,the innovative use of LossCalc model as the basis of empirical theoretical model.As a multi factor model,the LossCalc model has a lower error rate and can reflect the real value more accurately.Secondly,in terms of variable selection,micro factors such as issuing subject,borrowing object,regional difference,interest payment method and securities type are added into the securities' own factors innovatively.In macro-economic factors,macro pricing factors such as bond yield,stock market and money supply are taken into account to explain the issuing interest rate of credit asset-backed securities.Third,in terms of research conclusions,unlike previous theoretical research conclusions,the overall explanation of the issuance interest rate by the factors of securities themselves is relatively low,while the macroeconomic factors have a strong explanation for the issuance interest rate.Moreover,the statistical data of loan early repayment rate and default rate do not explain the issuing interest rate of credit asset-backed securities significantly,which further proves that the existing pricing method is not applicable in China.