摘要
绿色资产支持证券作为一种新型债务融资工具,能够通过一系列的结构安排和信用增级方式盘活资产,以解决绿色产业在融资方面存在的困难。本文通过建立期权调整利差模型,在使用CIR单因素模型、BDT模型、线性插值法分别求得适用于绿色资产支持证券的利率路径分布及期权调整利差后,运用该模型求得广州地铁1期、2期绿色资产支持证券的理论价值。研究结果表明:目前我国绿色资产支持证券的理论价值高于其实际价值。在此基础上对如何提高我国绿色资产支持证券的定价效率提出了相应的政策建议。
As a new debt financing tool,green asset-backed securities can revitalize assets through a series of structural arrangements and credit enhancement to solve the financing difficulties of green industry.In this paper,by establishing the option-adjusted-spread model,after using the CIR single factor model,BDT model and linear interpolation method to obtain the interest rate path distribution and option-adjusted-spread applicable to green asset-backed securities,the model is used to obtain the theoretical value of Guangzhou Metro phase 1 and phase 2 green asset-backed securities.The results show that the theoretical value of green asset-backed securities is higher than its actual value.On this basis,the paper puts forward corresponding policy suggestions on how to improve the pricing efficiency of green asset-backed securities in China.
出处
《价格理论与实践》
北大核心
2021年第1期132-135,共4页
Price:Theory & Practice
基金
国家自然科学基金资助项目(11501113)
福建省教育厅科技项目(JA15045)
