Asset securitization and rate of return: A study on letters of guarantee

作者：Wu, Binghui^*

来源：Physica A: Statistical Mechanics and Its Applications , 2018, 490: 1551-1554.

DOI：10.1016/j.physa.2017.08.143

• Asset securitization
• Letters of guarantee
• Risk probability
• Loss rate of cash flow

Using the theory of asset securitization, we analyze the feasibility of the securitization of letters of guarantee in theory. In the process of constructing the model of rate of return of securities backed by letters of guarantee, we propose two indices: the risk probability of asset-backed securities and the loss rate of asset-backed securities to analyze the cash flow of securities, On the basis of no arbitrage principle, the expression of rate of return of securities backed by letters of guarantee is put forward. In order to study the relationship between the rate of return of securities and other influential factor in the model, a simulation experiment is designed. The experiment results show that (i) an increasing risk probability of cash flow or a short maturity date also make the return rate of securities increase and (ii) the return rate of securities is higher in economic boom than that in economic recession when other parameters remain unchanged.

• 出版日期2018-1-15
• 单位陕西师范大学