收费公路资产证券化定价及发行方法研究

doi:10.16097/j.cnki.1009-6744.2021.04.005

交通运输系统工程与信息 ›› 2021, Vol. 21 ›› Issue (4): 40-46.DOI: 10.16097/j.cnki.1009-6744.2021.04.005

• 综合交通运输体系论坛 • 上一篇下一篇

收费公路资产证券化定价及发行方法研究

鲁皓，卢鑫，焦柳丹^*

重庆交通大学，经济与管理学院，重庆 400074

收稿日期:2021-05-14 修回日期:2021-06-06 接受日期:2021-06-10 出版日期:2021-08-25 发布日期:2021-08-23
作者简介:鲁皓(1980- )，女，重庆人，副教授，博士。
基金资助:
国家自然科学基金；重庆市自然科学基金；重庆市教委科学技术研究项目

Study on Pricing and Issuing Method of Asset Securitization of Toll Road

LU Hao, LU Xin, JIAO Liu-dan^*

School of Economics and Management, Chongqing Jiaotong University, Chongqing 400074, China

Received:2021-05-14 Revised:2021-06-06 Accepted:2021-06-10 Online:2021-08-25 Published:2021-08-23
Supported by:
National Natural Science Foundation of China(71901043)；Natural Science Foundation of Chongqing, China(cstc2019jcyj-msxmX0629)；Foundation for Program of Ministry of the Science and Technology Research Program of Chongqing, China(KJQN201900739)

摘要/Abstract

摘要： 从数据驱动视角出发，本文探讨收费公路资产支持证券的结构化定价方法。首先，构建反映交通量风险特征的收费公路通行收入自回归积分滑动平均模型；其次，基于瀑布式偿付结构和到期收益率Nelson-Siegel模型计算不同等级证券发债规模与息票利率；最后结合成渝高速和渝蓉高速现实数据进行仿真分析。研究发现，高速公路成熟期的通行收入具有尖峰厚尾特征，成长期的通行收入更兼具显著的波动聚集效应。数据驱动的定价模型能够刻画通行收入的风险特征，合理估计优先级的证券融资比例，比只考虑利率风险的现金流折现法更具有优势；从发行方式来看，合并发行的融资结构显著优于单独发行。管理启示是改变以单个高速公路项目为基础的特许经营权融资，通过绩优绩差项目的合并发行优化融资结构。

关键词: 交通运输经济, 收费公路, 资产证券化, 结构化定价, 融资结构, ARIMA-GARCH模型

Abstract: This paper discussed the data-driven pricing method of toll road asset-backed securities. Firstly, the ARIMAR-GARCH model reflecting the risk characteristics of traffic volume was constructed, then the issuance scale and coupon interest rate of different grades were calculated based on the waterfall repayment structure and the NelsonSiegel model. Finally, the simulation analysis was carried out by combining the real data of Chengyu and Yurong Expressways. The results show that the revenue in the mature period had a sharp peak and thick tail, and the revenue in the growth period had a significant fluctuation and aggregation effect. The data-driven pricing model can describe the risk characteristics of revenue and reasonably estimate the proportion of securities, which was better than the cash flow discount method which only considers interest rate risk. From the perspective of issuing method, the financing structure of the combined issue was significantly better than that of the separate issue. The advice is to change the franchise financing based on a single expressway project and optimize the financing structure through the merger and issuance of projects with high performance and poor performance.

Key words: transportation economy, toll road, asset securitization, structured pricing, financing structure, ARIMAGARCH model

中图分类号:

鲁皓, 卢鑫, 焦柳丹. 收费公路资产证券化定价及发行方法研究[J]. 交通运输系统工程与信息, 2021, 21(4): 40-46.

LU Hao, LU Xin, JIAO Liu-dan. Study on Pricing and Issuing Method of Asset Securitization of Toll Road[J]. Journal of Transportation Systems Engineering and Information Technology, 2021, 21(4): 40-46.

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链接本文: http://www.tseit.org.cn/CN/10.16097/j.cnki.1009-6744.2021.04.005

http://www.tseit.org.cn/CN/Y2021/V21/I4/40

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收费公路资产证券化定价及发行方法研究

Study on Pricing and Issuing Method of Asset Securitization of Toll Road

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