资产证券化的分层动力——基于估值差异观点的改进
The Tranching Dynamics of Securitization:a Framework Based on-Valuation Differences

本文研究了面临流动性需求时卖方的融资选择问题。与非对称信息理论不同,本文认为在现实的资产市场中,买卖双方不仅信息结构存在差异,而且拥有自己的定价模型,能独立地形成对资产包价值的估计。当存在估值差异时,直接出售或者发行过手型资产支持证券不能解决因估值差异过大而无法成交的现象。通过发行非线性债券,即采取优先-次级结构安排,可以协调买卖双方的估值差异,使发起人获得更高的回报。即结构分层能够满足估值差异下发起人的流动性需求。

This paper analyzes the asset sale strategies when originator facing liquidity need.Unlike the Asym- metric Information Theory,it proposes that both seller and buyer with different information have their proprieta- ry valuation model,hence they could formed the perception of cash flow probability distribution independently, and decide their trading strategy and price accordingly.In the market with valuation differences,outright sale or pass-through securitization would face the problem of no trading.Creatin...

【关键词】 资产证券化; 定价模型差异; 估值差异; 分层;
【英文关键词】 securitization; pricing model difference; valuation differences; tranching;

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