含有部分提前偿还条款的专利资产支持证券设计与定价  

Design and Pricing of Patent-Backed Securities with Partial Prepayment Clause

作　　者：柴鑫慧 丁堃[1] CHAI Xinhui;DING Kun(School of Public Administration and Policy,Dalian University of Technology,Dalian 116024,Liaoning,China)

机构地区：[1]大连理工大学公共管理学院,辽宁大连116024

出　　处：《系统管理学报》2025年第1期204-214,共11页Journal of Systems & Management

基　　金：中国工程院战略研究与咨询紧急重大项目(2021-JJZD-02)。

摘　　要：为满足不同还款能力的融资人通过专利证券化的方式获得资金的需求,丰富专利资产支持证券市场结构,向投资人提供更多的选择权,设计了一种固定比例的部分提前偿还条款:对于申请执行部分提前偿还条款的专利合同,其未来偿还发生的金额为剩余期限每期应付款项的固定比例的总额。进一步,为了对风险进行有效衡量,构建了专利资产支持证券的定价模型;以现金流贴现法为基础,运用马尔可夫过程描述提前偿还风险,Creditrisk+模型描述违约风险,确定了专利资产支持证券发行成本的表达式。运用构建的定价模型对设计的产品进行定价,结果显示:现有产品定价时对风险考虑不足,构建的定价模型对风险的衡量更为充分;设计的固定比例部分提前偿还条款可以对提前偿还行为进行有效限制,在满足发行条件的前提下能相对有效地控制风险。To meet the needs of financiers with different repayment abilities and to enrich the market structure of patent securitization products which could provide investors with more options,a fixed proportion partial prepayment clause is introduced.This clause stipulates that the amount of prepayment for each period is a fixed proportion of the amount payable for each period of the remaining term.To effectively measure the risks,a pricing model for patent securitization products is developed.Based on the discounted cash flow method,the model uses a Markov process to describe the prepayment risk and the Creditrisk+model to account for default risk.This allows for the determination of the issuing cost of patent-backed securities.The pricing model is then applied to a sample patent-backed security.The results show that the pricing model developed in this paper is more sufficient,and the fixed proportion partial prepayment clause designed in this paper can effectively limit the early repayment behavior,helping to manage the risk relatively effectively under the premise of meeting the issuance conditions.

关 键 词：专利 证券化 资产支持证券 定价 

分 类 号：F830[经济管理—金融学]