Asset securitization pricing method and device

• Main Authors: CHEN WEI, ZHU ZU'EN, HUANG DERONG, XIE QIN, DU WENWEN
• Format: Patent
• Language: Chinese; English
• Published: 07.07.2020
• Subjects: CALCULATING; COMPUTING; COUNTING; DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FORADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORYOR FORECASTING PURPOSES; PHYSICS; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE,COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTINGPURPOSES, NOT OTHERWISE PROVIDED FOR

The invention discloses an asset securitization pricing method and an asset securitization pricing device, relating to the field of finance. One specific embodiment of the asset securitization pricingmethod comprises the steps of: acquiring model factors from multiple loan data, and performing model training to predict probability of occurrence of early compensation events and default events andearly compensation results by using an early compensation and default model obtained by training; preprocessing interest rate factors in the model factors, inputting the preprocessed interest rate factors into an interest rate model, and carrying out parameter verification to predict a future interest rate by using the verified interest rate model; carrying out iterative calculation period by period to obtain an initial prediction value of a multi-period cash flow, and determining a final prediction value of the multi-period cash flow by utilizing a Monte Carlo method; and discounting a plurality of cash flow paths acc