信贷资产证券化的模糊随机定价模型

doi:10.13438/j.cnki.jdzk.2022.06.010

吉首大学学报（自然科学版） ›› 2022, Vol. 43 ›› Issue (6): 51-57.DOI: 10.13438/j.cnki.jdzk.2022.06.010

信贷资产证券化的模糊随机定价模型

张锦伦，张勇

(吉首大学数学与统计学院，湖南吉首 416000)

出版日期:2022-11-25 发布日期:2023-01-10
通讯作者: 张勇(1976—)，男，湖南怀化人，吉首大学数学与统计学院副教授，博士，主要从事数理金融与金融工程研究.
作者简介:张锦伦(1995—)，男，湖南怀化人，吉首大学数学与统计学院硕士生，主要从事金融工程与经济统计研究
基金资助:
湖南省教育厅科研重点项目(21A0347)

Fuzzy Stochastic Pricing Model for Credit Asset-Backed Securities

ZHANG Jinlun,ZHANG Yong

(School of Mathematics and Statistics,Jishou University,Jishou 416000,Hunan China)

Online:2022-11-25 Published:2023-01-10

摘要/Abstract

摘要：基于贷款人早偿行为特征，将价格视为模糊随机变量，构建了模糊随机环境下的信贷资产支持证券定价模型.通过算法分析、数值算例及静态分析，给出了已知信贷资产支持证券价格的隶属度求解方法，并验证了模糊随机环境下信贷资产支持证券定价的实用性.研究结果表明，模糊随机环境下的定价模型是传统定价模型的一般形式.

关键词： 模糊随机, 早偿行为, 隶属度, 信贷资产支持证券定价

Abstract: Based on the characteristics of the loan prepayment behavior,the pricing model of credit asset-backed securities in the fuzzy random environment is constructed by taking the price as a fuzzy random variable.Through algorithm analysis,the method of calculating the membership degree of credit asset-backed securities with known price is given,and the practicability of pricing model is verified through numerical examples and static analysis.The results show that the pricing model in the fuzzy stochastic environment is the general form of the traditional pricing model.

Key words: fuzziness and randomness, loan prepayment behavior, membership degree, pricing of credit asset-backed securities

张锦伦, 张勇. 信贷资产证券化的模糊随机定价模型[J]. 吉首大学学报（自然科学版）, 2022, 43(6): 51-57.

ZHANG Jinlun, ZHANG Yong. Fuzzy Stochastic Pricing Model for Credit Asset-Backed Securities[J]. Journal of Jishou University(Natural Sciences Edition), 2022, 43(6): 51-57.

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信贷资产证券化的模糊随机定价模型

Fuzzy Stochastic Pricing Model for Credit Asset-Backed Securities

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