Research On Securitization Pricing Of Personal Auto Mortgage Assets Based On Monte Carlo Simulation

Asset securitization is an important channel for enterprises to expand financing channels,improve asset liquidity and reduce capital cost.With the increasing of China’s automobile consumer finance market,the cases of personal automobile mortgage asset securitization will be more and more.Correct pricing method can not only ensure the rationality of the asset-backed securities pricing,also can make investors get investment income,to match the risk,in turn,improve efficiency and liquidity of asset securitization market,also make it easier for securities sponsors can lower the cost of financing,so as to improve the activity of securities trading market,for personal auto assets securitization markets.Therefore,this paper mainly studies the pricing method from four parts.The first part expounds the basic principle of asset securitization.Firstly,the definition and characteristics of asset-backed securities are described,and three different classification methods are provided.In the theoretical system of asset securitization in China,the core principle of asset securitization is cash flow analysis,because the value of assets is determined by the generated cash flow,and asset securitization is the process of completing the redistribution of cash flow.In addition,there are three basic principles of asset securitization--the principle of asset reorganization,the principle of risk isolation and the principle of credit enhancement,which help asset securitization products to truly realize the redistribution of income and risk.The second part studies the product design of personal auto mortgage-backed securities in China.Combed the operation process of asset securitization process,can be divided into main building foundation asset pool,the established special purpose trust,set up the trade structure,credit enhancement,credit rating,and six listed securities sales and process,and finished in the above process assets reorganization,risk isolation and credit enhancement,three basic principles.Then,this paper distinguishes the asset side from the liability side of the asset-backed securities,and analyzes the distribution mechanism of cash flow,providing a clear idea for the construction of the pricing model.The third part is the construction of pricing model.Expounds the pricing model based on Monte Carlo Simulation principle and applicability of personal car mortgage-backed securities pricing,extracted the affect the pricing of the two main variables: cash flow and interest rate paths,then build the consider repay ahead of schedule and default behavior affect the cash flow model,using the CIR model as the simulation model of pricing interest rate path.The fourth part is a case study based on the pricing model constructed above,and selects the first phase of personal auto mortgage-backed securities of Rongteng in 2018 as an example.With the monthly yields on Chinese asset-backed securities from December 2007 to December 2017 as the data,the estimated value of the parameter(α,,)of the CIR model can be calculated,and 1000 interest rate paths can be obtained by Monte Carlo simulation of the CIR model with Matlab.Then,based on the past data of Rongteng ABS plan and the issuer’s static asset pool data,the prepayment rate model and default rate model are summarized,and the actual cash flow statement is obtained.Finally,the calculated pricing results are as follows: the value of the senior class A is 2,591,094,909.73 yuan,the value of senior class B is 201,733,699.98 yuan,and the value of the secondary securities is 229,355,830.80 yuan,with the total value of the securities still exceeding the par value of the issued securities 13,710,254.84 yuan after deducting the corresponding expenses.This paper summarizes the three reasons for the above calculation results: excess interest margin,return between hierarchical structures and model error.The last part of this paper is the conclusion and suggestion.This part summarizes the pricing process used in this paper and puts forward some Suggestions to improve the marketization of personal auto mortgage-backed securities in China.