农户贷款资产证券化的可行性与定价研究
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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.
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.
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.
引文
[1]Bhattachar A K,Fabozzi F J.Asset-Backed Securities[M].New York:Frank J.Fabozzi Associates,1996:269-271.
[2]李文泓.资产证券化的资本充足率框架及其对我国的启示[J].金融研究,2005,(8):99-111.Li Wenhong.Asset securitization framework of capital adequacy ratio and enlightenment to China[J].Journal of Financial Research,2005,(8):99-111.(in Chinese)
[3]姚禄仕,王璇,宁霄.银行信贷资产证券化效应的实证研究---基于美国银行业的面板数据[J].国际金融研究,2012,(9):71-78.Yao Lushi,Wang Xuan,Ning Xiao.An empirical study on effect of bank credit asset securitization:Based on panel data of the U.S.banking sector[J].Studies of International Finance,2012,(9):71-78.(in Chinese)
[4]王国刚.从次贷危机看资产证券化[J].中国金融,2013,(21):29-31.Wang Guogang.Look for asset securitization from the subprime crisis[J].China Finance,2013,(21):29-31.(in Chinese)
[5]王军生,邹东哲.信贷资产证券化对银行业稳定性经营的影响[J].金融理论与实践,2016,(7):57-61.Wang Junsheng,Zou Dongzhe.Impact of credit assets securitization on the stability of banking industry[J].Financial Theory and Practice,2016,(7):57-61.(in Chinese)
[6]庞素琳.基于贷款风险损失比的农户信贷模型与应用[J].管理科学学报,2012,15(11):11-22.Pang Sulin.Farmer credit loan decision model and application based on bank credit risk lossing ratio[J].Journal of Management Sciences in China,2012,15(11):11-22.(in Chinese)
[7]Kau J B,Keenan D C.An overview of the option-theoretic pricing of mortgages[J].Journal of Housing Research,1995,6(2):217-244.
[8]Deng Y,Quigley J M,Order R V.Mortgage terminations,heterogeneity and the exercise of mortgage options[J].Econometrica,2000,68(2):275-307.
[9]Kariya T,Ushiyama F,Pliska S R.A 3-factor valuation model for mortgage-backed securities(MBS)[J].Kyoto Institute of Economic Research,2002,37(11):1068-1087.
[10]王明好,陈忠,李丽.考虑违约风险的固定利率抵押贷款支持证券三因素定价模型[J].上海交通大学学报,2006,40(4):628-631.Wang Minghao,Chen Zhong,Li Li.A 3-factor pricing model with default risk for fixed rate mortgage-backed securities[J].Journal of Shanghai Jiao Tong University,2006,40(4):628-631.(in Chinese)
[11]Zhu Z X,Yan Z.Prediction model of mortgage prepayment risk[C].//Management Science and Engineering(ICMSE),2013 International Conference on.IEEE,2013:418-424.
[12]叶文忠,杨招军,郑毅.抵押贷款证券的效用无差别定价[J].中国管理科学,2010,18(4):21-27.Ye Wenzhong,Yang Zhaojun,Zheng Yi.Utility indifference pricing of mortgage-backed securities[J].Chinese Journal of Management Science,2010,18(4):21-27.(in Chinese)
[13]Nakamura N.Valuation of mortgage-backed securities based upon a structural approach[J].Asia-Pacific Financial Markets,2001,8(4):259-289.
[14]Kariya T,Kobayashi M.Pricing mortgage-backed securities(MBS)[J].Asia-Pacific Financial Markets,2000,7(2):189-204.
[15]Nakagawa H,Shouda T.Valuation of Mortgage-Backed Securities Based on Unobservable Prepayment Costs[M].Tokyo:Springer,2004:123-147.
[16]Rossi G D,Vargiolu T.Optimal prepayment and default rules for mortgage-backed securities[J].Decisions in Economics&Finance,2010,33(1):23-47.
[17]张维,邱勇.多银行贷款池的组合违约风险研究[J].管理科学学报,2008,11(4):134-141.Zhang Wei,Qiu Yong.Portfolio default risks of multi-bank loan pools[J].Journal of Management Sciences in China,2008,11(4):134-141.(in Chinese)
[18]徐晓萍,马文杰.非上市中小企业贷款违约率的定量分析---基于判别分析法和决策树模型的分析[J].金融研究,2011,(3):111-120.Xu Xiaoping,Ma Wenjie.Quantitative analysis of loans’default rate for non-listed SMEs[J].Journal of Financial Research,2011,(3):111-120(in Chinese)
[19]Fan G Z,Sing T F,Ong S E.Default clustering risks in commercial mortgage backed securities[J].Journal of Real Estate Finance&Economics,2012,45(1):110-127.
[20]Fermanian J D.A top-down approach for asset-backed securities:A consistent way of managing prepayment,default and interest rate risks[J].Journal of Real Estate Finance&Economics,2013,46(3):1-36.
[21]闫妍,顾亚露,朱晓武.高速公路收益权的资产证券化问题研究[J].金融研究,2016,(5):111-123.Yan Yan,Gu Yalu,Zhu Xiaowu.Research on asset securitization of highway’s earning right[J].Journal of Financial Research,2016,(5):111-123.(in Chinese)
[22]曹宏铎,李旲,张晓云.面向文化资产证券化定价的G-Bass随机扩散预测模型研究[J].管理工程学报,2017,31(1):192-200.Cao Hongduo,Li Ying,Zhang Xiaoyun.Research on pricing of cultural-asset securitization based on bass stochastic diffusion models[J].Journal of Industrial Engineering Management,2017,31(1):192-200.(in Chinese)
[23]Deng Y,Gabriel S.Risk-based pricing and the enhancement of mortgage credit availability among underserved and higher credit-risk populations[J].Journal of Money Credit&Banking,2006,38(6):1431-1460.
(2)~(4)数据来自于Wind数据库.
(5)商业银行贷款5级分类规定:“逾期30天以内的贷款为‘正常’级别,本金或利息逾期(含展期)90天(含)以内的贷款为‘关注级别’”.
(6)此数据从Wind数据库得到.
(7)此数据从Wind数据库得到.
(8)此数据从Wind数据库得到.
[2]李文泓.资产证券化的资本充足率框架及其对我国的启示[J].金融研究,2005,(8):99-111.Li Wenhong.Asset securitization framework of capital adequacy ratio and enlightenment to China[J].Journal of Financial Research,2005,(8):99-111.(in Chinese)
[3]姚禄仕,王璇,宁霄.银行信贷资产证券化效应的实证研究---基于美国银行业的面板数据[J].国际金融研究,2012,(9):71-78.Yao Lushi,Wang Xuan,Ning Xiao.An empirical study on effect of bank credit asset securitization:Based on panel data of the U.S.banking sector[J].Studies of International Finance,2012,(9):71-78.(in Chinese)
[4]王国刚.从次贷危机看资产证券化[J].中国金融,2013,(21):29-31.Wang Guogang.Look for asset securitization from the subprime crisis[J].China Finance,2013,(21):29-31.(in Chinese)
[5]王军生,邹东哲.信贷资产证券化对银行业稳定性经营的影响[J].金融理论与实践,2016,(7):57-61.Wang Junsheng,Zou Dongzhe.Impact of credit assets securitization on the stability of banking industry[J].Financial Theory and Practice,2016,(7):57-61.(in Chinese)
[6]庞素琳.基于贷款风险损失比的农户信贷模型与应用[J].管理科学学报,2012,15(11):11-22.Pang Sulin.Farmer credit loan decision model and application based on bank credit risk lossing ratio[J].Journal of Management Sciences in China,2012,15(11):11-22.(in Chinese)
[7]Kau J B,Keenan D C.An overview of the option-theoretic pricing of mortgages[J].Journal of Housing Research,1995,6(2):217-244.
[8]Deng Y,Quigley J M,Order R V.Mortgage terminations,heterogeneity and the exercise of mortgage options[J].Econometrica,2000,68(2):275-307.
[9]Kariya T,Ushiyama F,Pliska S R.A 3-factor valuation model for mortgage-backed securities(MBS)[J].Kyoto Institute of Economic Research,2002,37(11):1068-1087.
[10]王明好,陈忠,李丽.考虑违约风险的固定利率抵押贷款支持证券三因素定价模型[J].上海交通大学学报,2006,40(4):628-631.Wang Minghao,Chen Zhong,Li Li.A 3-factor pricing model with default risk for fixed rate mortgage-backed securities[J].Journal of Shanghai Jiao Tong University,2006,40(4):628-631.(in Chinese)
[11]Zhu Z X,Yan Z.Prediction model of mortgage prepayment risk[C].//Management Science and Engineering(ICMSE),2013 International Conference on.IEEE,2013:418-424.
[12]叶文忠,杨招军,郑毅.抵押贷款证券的效用无差别定价[J].中国管理科学,2010,18(4):21-27.Ye Wenzhong,Yang Zhaojun,Zheng Yi.Utility indifference pricing of mortgage-backed securities[J].Chinese Journal of Management Science,2010,18(4):21-27.(in Chinese)
[13]Nakamura N.Valuation of mortgage-backed securities based upon a structural approach[J].Asia-Pacific Financial Markets,2001,8(4):259-289.
[14]Kariya T,Kobayashi M.Pricing mortgage-backed securities(MBS)[J].Asia-Pacific Financial Markets,2000,7(2):189-204.
[15]Nakagawa H,Shouda T.Valuation of Mortgage-Backed Securities Based on Unobservable Prepayment Costs[M].Tokyo:Springer,2004:123-147.
[16]Rossi G D,Vargiolu T.Optimal prepayment and default rules for mortgage-backed securities[J].Decisions in Economics&Finance,2010,33(1):23-47.
[17]张维,邱勇.多银行贷款池的组合违约风险研究[J].管理科学学报,2008,11(4):134-141.Zhang Wei,Qiu Yong.Portfolio default risks of multi-bank loan pools[J].Journal of Management Sciences in China,2008,11(4):134-141.(in Chinese)
[18]徐晓萍,马文杰.非上市中小企业贷款违约率的定量分析---基于判别分析法和决策树模型的分析[J].金融研究,2011,(3):111-120.Xu Xiaoping,Ma Wenjie.Quantitative analysis of loans’default rate for non-listed SMEs[J].Journal of Financial Research,2011,(3):111-120(in Chinese)
[19]Fan G Z,Sing T F,Ong S E.Default clustering risks in commercial mortgage backed securities[J].Journal of Real Estate Finance&Economics,2012,45(1):110-127.
[20]Fermanian J D.A top-down approach for asset-backed securities:A consistent way of managing prepayment,default and interest rate risks[J].Journal of Real Estate Finance&Economics,2013,46(3):1-36.
[21]闫妍,顾亚露,朱晓武.高速公路收益权的资产证券化问题研究[J].金融研究,2016,(5):111-123.Yan Yan,Gu Yalu,Zhu Xiaowu.Research on asset securitization of highway’s earning right[J].Journal of Financial Research,2016,(5):111-123.(in Chinese)
[22]曹宏铎,李旲,张晓云.面向文化资产证券化定价的G-Bass随机扩散预测模型研究[J].管理工程学报,2017,31(1):192-200.Cao Hongduo,Li Ying,Zhang Xiaoyun.Research on pricing of cultural-asset securitization based on bass stochastic diffusion models[J].Journal of Industrial Engineering Management,2017,31(1):192-200.(in Chinese)
[23]Deng Y,Gabriel S.Risk-based pricing and the enhancement of mortgage credit availability among underserved and higher credit-risk populations[J].Journal of Money Credit&Banking,2006,38(6):1431-1460.
(2)~(4)数据来自于Wind数据库.
(5)商业银行贷款5级分类规定:“逾期30天以内的贷款为‘正常’级别,本金或利息逾期(含展期)90天(含)以内的贷款为‘关注级别’”.
(6)此数据从Wind数据库得到.
(7)此数据从Wind数据库得到.
(8)此数据从Wind数据库得到.