【作者】 胡洋；

【导师】 姚水洪；

【作者基本信息】 北京化工大学 ， 技术经济及管理， 2020， 硕士

【摘要】 作为创新型结构化融资债券,PPP资产证券化定价是否合理,直接关系到其能否成功发行,而其定价则是不同市场主体利益博弈的结果。为了推动PPP资产证券化规范有序发展,需要做好对PPP资产证券化产品利率定价影响因素分析,缓解目前PPP实施中存在的困难,推动PPP模式的健康发展。现在,国内PPP项目资产证券化尚且处于发展初期,对PPP项目资产证券化定价相关问题的研究也处于初步阶段,尚未形成与之配套的定价理论体系。因此,本文以无套利定价思想为理论前提,构建PPP资产证券化产品定价模型,并且分别从发行特征、标的资产质量、宏观层面、增信措施等四个维度对影响PPP资产证券化产品定价因素进行分析。并借助多元回归模型,进行实证研究,实证结果得出不同因素对PPP项目资产证券化利率产生的影响。本文通过理论和实证研究,得到如下结论:(1)标的资产质量中违约距离对PPP资产证券化发行利率具有显著的负向影响;(2)增信措施中超额覆盖程度、附属比例、显性担保对PPP资产证券化发行利率具有显著的负向影响;隐性担保对PPP资产证券化发行利率的影响并不显著;(3)发行特征中评级、发行规模对PPP资产证券化发行利率具有显著的负向影响,而存续期对PPP资产证券化发行利率具有显著的正向影响;并由此得到如下政策建议:(1)通过强化信息披露制度使定价更加公允;(2)通过建立中介机构激励机制提高定价效率(3)通过建立政府担保约束机制防止定价失真。希望本文研究结果能够对进一步完善PPP项目定价问题能够提供一定的借鉴意义。更多还原

【Abstract】 As an innovative structured finance bond,the pricing of PPP asset securitization is directly related to its successful issuance,while its pricing is the result of interest game among different market subjects.In order to promote the orderly development of the standard of PPP asset securitization,it is necessary to analyze the factors influencing the interest rate pricing of PPP asset securitization products,alleviate the difficulties in the current PPP implementation,and promote the healthy development of the PPP model.At present,the asset securitization of PPP projects in China is still in the early stage of development,and the research on the pricing of the asset securitization of PPP projects is still in the preliminary stage,and a pricing theoretical system has not yet been formed.Therefore,based on the theoretical premise of no arbitrage pricing,this paper constructs a pricing model of PPP asset securitization products,and analyzes the factors affecting the pricing of PPP asset securitization products from four dimensions,including the issue characteristics,the quality of the underlying asset,the macro level,and credit enhancement measures.With the help of multiple regression model,empirical research was conducted,and the empirical results showed that different factors had an impact on the interest rate of asset securitization in PPP projects.Through theoretical and empirical research,this paper draws the following conclusions:(1)the default distance in the underlying asset quality has a significant negative impact on the interest rate of PPP asset securitization;(2)the degree of overcoverage,subsidiary ratio and explicit guarantee in the credit enhancement measures have a significant negative impact on the interest rate of PPP asset securitization;The influence of implicit guarantee on the interest rate of PPP asset securitization is not significant;(3)in the issue characteristics,the rating and the issue scale have a significant negative impact on the interest rate of PPP asset securitization,while the duration has a significant positive impact on the interest rate of PPP asset securitization.From this,the following policy Suggestions are obtained:(1)to make the pricing more fair by strengthening the information disclosure system;(2)improve pricing efficiency by establishing an incentive mechanism for intermediaries(3)prevent pricing distortion by establishing a constraint mechanism for government guarantee.It is hoped that the research results of this paper can provide some reference for further improving the pricing of PPP projects.更多还原