PPP模式资产证券化定价研究——基于期权调整利差模型的分析  

A Study on Asset Securitization Pricing Via PPP Model——Based on OAS Mode

作　　者：郭宁[1] 安起光[2] GUO Ning AN Qiguang(Donffang College, Shandong University of Finance and Economics, Taian 271000, China School of Mathematics and Quantitative Economics, Shandong University of Finance and Economics, Jinan 250014, China)

机构地区：[1]山东财经大学东方学院财政金融系,山东泰安271000 [2]山东财经大学数学与数量经济学院,山东济南250014

出　　处：《山东财经大学学报》2017年第1期11-18,27,共9页Journal of Shandong University of Finance and Economics

基　　金：山东省社会科学规划重大委托项目"山东省金融产业发展的风险测度研究"(项目编号:14AWTJ01-17)

摘　　要：PPP(政府和社会资本合作)模式越来越多地应用于基础设施建设领域,并逐渐成为解决融资难的有效方式。资产证券化作为一项重要的融资工具,能够为解决基础设施融资难题提供有益帮助。文章基于资产证券化理论和资产证券化的定价原理,分析了我国PPP模式进行资产证券化的可行性,对比资产证券化定价的三种方法,认为期权调整利差法(OAS)更适合PPP模式资产证券化定价,在此基础上提出模型构建思路。结合PPP项目实际情况设计资产证券化流程,并对其定价进行实证分析,确定客观合理的价格。文章寻求适合国内实际的PPP模式资产证券化定价方法,为我国PPP模式的快速发展提供了理论参考。Public Private Partnership （PPP） model is increasingly applied to the infrastructure construction field and gradually becomes an effective way to solve financing problems. As an important financing tool, asset securitization can supplement and perfect China PPP model and help to solve infrastructure financing problems. Based on asset seeuritization theory and pricing principle, this paper analyzes the feasibility of China PPP model being asset securitized, and believes, through comparing three ways of asset seeuritization, that option adjusted spread （OAS） is more suitable for PPP model asset securitization pricing, based on which the model building ideas are proposed, i.e, the asset securitization process should be designed based on the practical situation of PPP projects with its pricing empirically analyzed so as to determine an objective and reasonable price. Such an exploration of domestically suitable PPP model asset securitization pricing will provide theoretical reference for China rapidly developing PPP model.

关 键 词：PPP模式 资产证券化 期权调整利差法(OAS) 

分 类 号：F840[经济管理—保险]