NDLI: Research on the pricing of guarantee-backed securities based on Monte Carlo simulation

Content Provider	IEEE Xplore Digital Library
Author	Tang Zheng-hong He Jian-min Sui Xin
Copyright Year	2014
Description	Author affiliation: Sch. of Econ. & Manage., Southeast Univ., Nanjing, China (Tang Zheng-hong; He Jian-min; Sui Xin)
Abstract	The guarantee is an important content of bank credit guarantee system and banks hold large amounts of guarantee assets lack of liquidity. Along with the increasingly serious international economic and financial environment, the financial institutions are faced with hard constraints of liquidity. It is necessary to create the liquidity and revitalize the guarantee asset in the case of lack of liquidity for domestic and international financial institutions.Now the asset securitization research mainly focus on the assets with long-term and high risk,few papper researches guarantee assets with short-term and low risk.Based on this,the paper will research the pricing of guarantee securitization.Because of autocorrelation and ARCH effects of financial time series, the AR(1)-AR(9)-AR(22)-T-EGARCH(1,1) Vasicek model is built to solve the parameters of dynamic interest rate model and the Monte Carlo simulation is used to solve the pricing of guarantee-backed securities in this paper. The research shows that the pricing of the guarantee-backed securities has the characteristics of path-dependent, so lots of simulations are needed to be made to reduce the errors; And because of the shorter term of guarantee assets, financial institutions should make great efforts to develop guarantee business to fill and replace the assets of the guarantee asset pool and maintain the stability of cash flow. The research not only extends the theory of asset securitization pricing, but also has important practice significance on the implementation of the guarantee securitization for commercial banks and other financial institutions.
Starting Page	1274
Ending Page	1279
File Size	240870
Page Count	6
File Format	PDF
ISBN	9781479953752
ISSN	21551855
e-ISBN	9781479953769
DOI	10.1109/ICMSE.2014.6930376
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2014-08-17
Publisher Place	Finland
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Correlation Monte Carlo methods Economic indicators guarantee-backed security Pricing asset securitization Security Mathematical model Equations pricing Monte Carlo simulation
Content Type	Text
Resource Type	Article

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

Pricing intellectual property securitization with jump-diffusion

Simulation-based pricing of mortgage-backed securities

The delivery option in mortgage backed security valuation simulations

Beijing-Shanghai high-speed railway project Asset-Backed Securitization

Pricing credit spread option with Kalman filter and Monte Carlo simulation

CASH vs. SYNTHETIC ASSET-BACKED SECURITIES

FPGA-Based Reconfigurable Computing for Pricing Multi-asset Barrier Options

Pricing Exchangeable Bonds Based on Monte Carlo Method

Convergence studies on Monte Carlo methods for pricing mortgage-backed securities

Research on the pricing of guarantee-backed securities based on Monte Carlo simulation

Similar Documents

Pricing intellectual property securitization with jump-diffusion

Simulation-based pricing of mortgage-backed securities

The delivery option in mortgage backed security valuation simulations

Beijing-Shanghai high-speed railway project Asset-Backed Securitization

Pricing credit spread option with Kalman filter and Monte Carlo simulation

CASH vs. SYNTHETIC ASSET-BACKED SECURITIES

FPGA-Based Reconfigurable Computing for Pricing Multi-asset Barrier Options

Pricing Exchangeable Bonds Based on Monte Carlo Method

Convergence studies on Monte Carlo methods for pricing mortgage-backed securities

Research on the pricing of guarantee-backed securities based on Monte Carlo simulation