Analysis on the Pricing Model of Non-performing Assets Securitization of Bank

摘要：

Non-performing assets securitization of bank, as a new creative financial tool, mainly includes two pricing models. One is based on yield to maturity and the other is based on embedded option. They form the core of the pricing of non-performing assets securitization of bank. This paper gives a detailed discussion on two models construction. In addition, a brief review is made about the pricing system construction of bank non-performing assets securitization in China.

关键词： Non-performing Assets Securitization Pricing Model

作者: Cai Yuping

作者单位: School of Business, Zhengzhou University, Zhengzhou,P.R.China, 450002

会议类型: 国际会议

会议名称: The 15th International Conference on Industrial Engineering and Engineering Management(IE&EM2008)(第十五届工业工程与工程管理国际学术会议暨中国机械工程学会第11次工业工程年会)

会议地点: 郑州

会议语种:英文

在线出版日期: 2008-09-20（万方平台首次上网日期，不代表论文的发表时间）