首页 | 新闻公告 | 作者指南 | 编委会 | 关于杂志 | 订阅 | 相关链接 | 下载区 | 联系我们

农户贷款资产证券化的可行性与定价研究
Research on feasibility and valuation of farmers’loan backed securitization
摘要点击 997  全文点击 259    
查看全文  查看/发表评论  下载PDF阅读器
中文关键词  资产支持证券; 农村商业银行; 农户贷款
英文关键词  asset-backed securities; rural commercial bank; farmers’loan
基金项目  国家自然科学基金资助项目( 71573243) ; 中国科学院青年创新促进会基金资助项目( 2015359) ; 中国科学院大数据挖掘与知 识管理重点实验室开放课题资助项目
学科分类代码  
作者单位E-mail
马建国 中国科学院大学经济与管理学院,北京100190  
龚欣阳 中国科学院大学经济与管理学院,北京100190  
闫 妍 中国科学院大学经济与管理学院,北京100190;中国科学院大数据挖掘与知识管理重点实验室,北京100190 yanyan@ucas.ac.cn 
中文摘要
      2013年以来我国资产证券化业务迅速发展,但是鲜有基于农户贷款的资产证券化产品,国内外缺乏研究相关定价问题的文献.研究发现,农户贷款与普通贷款不同,具有小额、短期、循环性等特征,且还款行为具有显著的季节性,不能套用国内外已有的偿还模型.文中以某农村商业银行2012年—2014年发放的49 970笔农户贷款为基础资产,结合农户贷款特征,利用蒙特卡洛模拟方法预测资产池的现金流,并使用SV模型拟合到期收益率曲线,计算未来现金流入的现值;然后对基础资产划分为信用评级不同的3个层级设计了抵押担保债券(CMO);最后确定不同层级债券的发债规模和息票利率.农户贷款证券化将有助于解决农村商业银行的流动性风险问题.
英文摘要
      Since 2013,asset backed securitization ( ABS) has developed rapidly in Chin. However,there are few ABS backed with farmers’loans,and few related studies on the valuation of it. It is revealed that farmers’ loans are different from ordinary loans,with the features of small,short-term,and cyclical. The repayment behavior of farmers’loan is significantly seasonal,so that prevalent models are not applicable. The paper uses data comprised of 49 970 loans,issued by a rural commercial bank during the years between 2012 and 2014, as the underlying asset of ABS. Monte Carlo model is adopted to predict the future cash flow of the asset pool, and SV model is applied to fit the yield curve,then the present value of the expected cash flows is derived. The cash flow of the bond is divided into different credit tranches to devise a CMO ( collateralized mortgage obligation) . It is found that farmers’loan securitization is helpful to relieve the liquidity risk of rural commercial banks.
关闭

版权所有 © 2007 《管理科学学报》
通讯地址:天津市南开区卫津路92号天津大学第25教学楼A座908室 邮编:300072
联系电话/传真:022-27403197 电子信箱: jmstju@263.net