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Game Analysis of Risk and Pricing Research of Assets Securitization

Author: YangBaiSong
Tutor: WangWenJu
School: Capital University of Economics
Course: Quantitative Economics
Keywords: Underlying assets Risk Game Analysis Principal-agent Transition matrix Pricing
CLC: F830.91
Type: Master's thesis
Year: 2010
Downloads: 292
Quote: 1
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Abstract


The financial crisis that began in 2007 attacked the global financial markets and sustained world economic recession , governments have introduced a bailout plan to stimulate economic growth . Culprit of the financial crisis is the 1970s financial innovation products - subprime mortgage securities products , the rating agencies in the meantime has played a role in fueling. China's financial market is in a stage of vigorous development , asset securitization in China is still a young product , there are broad prospects for development as an important financing tool . The outbreak of the financial crisis, warned us: research and control of the asset securitization risk is particularly important . Part of the risk in the asset securitization process control method and pricing of great practical significance , and some guidance in practical operation . This article is divided into five parts : The first part is an introduction introduces the research background , literature and discourse structure . The second part introduces the theory of asset securitization . The third part is the risk of asset securitization game , first introduced the mechanism of the formation of the sub-prime related products run the risk of asset securitization ; followed by the use of the principal - agent model to improve the quality of the underlying assets ; Finally, the use of mechanism design theory third-party risk . The fourth part is the pricing of asset securitization . The fifth part of the conclusions and further research directions . The innovation of this paper is a total of three aspects: first , according to the principal - agent principle the quality of the underlying assets , the risk of Game Analysis between the investors in the asset sale and securitization products built on the basis of asset quality risk the principal-agent model ; second , with the help of game theory and principle the idea of ??design model of the third - party constraint mechanism ; third, using the income capitalization principle , the use of econometrics and the application of stochastic processes the transfer matrix method , the consolidated hierarchical model of the current trust fund for the medium-term credit asset securitization products , theoretically presented with less loose premise of hypothetical pricing model .

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Financial market > Securities market
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