Research on Chinese Credit Card Asset Securitization Pricing

Abstract

Credit card asset securitization will realize on-balance sheet items externalization which can reduce the risk of total assets, improve bank liquidity and broaden financing channels. In this process the key is pricing research including issue pricing and transfer pricing. This paper shows that it should adopt negotiation pricing method. With Monte Carlo simulation pricing method and CIR interest rate models to study on pricing. Empirical studies shows that the issued price will be lower if consider ahead of the principal amortization. No matter under the first or the second line, the price of control accumulated repayment method is the highest, followed by controlled amortization method, and the transfer payment Method is the lowest.