A Top-Down Approach for Asset-Backed Securities: A Consistent Way of Managing Prepayment, Default and Interest Rate Risks

Fermanian, Jean‐David

doi:10.1007/s11146-011-9331-2

Cited by 8 publications

(2 citation statements)

References 25 publications

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“…Fan et al [13] pointed out that default was a Poisson jumping process determined by the information function of mortgage credit rating, and used higher-dimensional Brownian motion to capture systemic risks and idiosyncratic risks. Fermanian [14] found that it was possible to directly model the loss process and amortization process of the investment portfolio based on the "top-down" path of the pricing of bond graded products such as CMO (Collateralized Mortgage Obligation) and CDO (Collateralized Debt Obligation).…”

Section: Literature Review Of Asset-backed Securitization Product Pricingmentioning

confidence: 99%

Sustainable Construction and Financing—Asset-Backed Securitization of Expressway’s Usufruct with Redeemable Rights

Zhang

Tjia²,

Wang

et al. 2021

Sustainability

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Asset-backed securitization will greatly promote the sustainability of infrastructure construction and financing. However, there are quite limited researches conducted in this field. Given the project characteristics of infrastructure project securities, this paper proposes the issuance steps of redeemable asset-backed notes (ABN) based on the infrastructure project’s usufruct as the basic asset. Taking the expressway franchise as an example, the issuing scale and coupon rate of the redeemable ABN are determined by the expected cash flow of the expressway, the term structure of random interest rates, and the option-adjusted spread (OAS). In addition, this research analyzes the duration, convexity, and OAS.

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Section: Literature Review Of Asset-backed Securitization Product Pricingmentioning

confidence: 99%

Sustainable Construction and Financing—Asset-Backed Securitization of Expressway’s Usufruct with Redeemable Rights

Zhang

Tjia²,

Wang

et al. 2021

Sustainability

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show abstract

“…The analysis of the evolution of the interest rate as a discount rate leads to the conclusion that the basic method of determining price through ABS is to analyze the expected cash flows to derive the net present value of the project. According to Fermanian. (2013), that the model is built by two lines, upper and lower, as per the characteristics of the price classification of securitized products.…”

Section: Introductionmentioning

confidence: 99%

Research on the pricing of PPP project ABS products based on the right of income of heating

Duan

Zhang²

2023

Front. Energy Res.

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Introduction: The Public-Private Partnership (PPP) model has the advantages of enhancing the efficiency of social infrastructure construction and reducing the risk of government liabilities, and has been widely used and developed in China. In the current securitization of PPP project assets, the question of how to price them is key to whether the Asset-backed Securities (ABS) products can be issued successfully.Methods: This study analyzes the pricing process and influencing factors of PPP project ABS in the context of PPP projects in China by collating the relevant literature on PPP project ABS products and collating the advantages and disadvantages of the static discounted cash flow (SCF), static spread (SS), and option-adjusted spread (OAS) methods. The study finds that the SCF and SS methods, primarily used in pricing PPP project ABS products, lack consideration of interest rate changes, early repayment rates, and multiple interest rate path options, leading to biased results. This study introduces the Monte Carlo simulation pricing method (MCSM) and conducts an empirical analysis based on the case of the Heating income right ABS of Huaxia Happiness PPP Project ABS.Results: It is concluded that the Monte Carlo simulation method can more flexibly and accurately price PPP project ABS products with revenue rights as the underlying assets.Discussion: This study has reference significance for the pricing of ABS products in future PPP projects and the construction of PPP projects in integrated energy service industrial parks, and can promote the development of new integrated energy service industrial parks, thereby helping to improve the energy consumption structure of enterprises in industrial parks, improve energy use efficiency, ensure the safety of energy use by enterprises, and further enhance the application of new energy by enterprises, thereby reducing their Greenhouse gas emissions.

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A Top-Down Approach for Asset-Backed Securities: A Consistent Way of Managing Prepayment, Default and Interest Rate Risks

Cited by 8 publications

References 25 publications

Sustainable Construction and Financing—Asset-Backed Securitization of Expressway’s Usufruct with Redeemable Rights

Sustainable Construction and Financing—Asset-Backed Securitization of Expressway’s Usufruct with Redeemable Rights

Research on the pricing of PPP project ABS products based on the right of income of heating

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