关键词: 发行者视角, 保函, 商业票据, 累积前景理论, 定价

Abstract: To alleviate funding pressure of enterprises, especially middle and small-sized ones, and to assure application of deferred payments in business activities, the concept of guarantee backed commercial paper was proposed based on the functions of commercial paper and potential funding risks of asset backed commercial paper. The pricing of the proposed paper, whose underlying assets are backed by guarantee, was also studied. The key point of financing tool issuance is that whether the pricing of it could reflect interests of issuers and investors at the same time after paying cost to other stakeholders. And for a new tool, the interest of issuers must be the first consideration. Like asset backed commercial paper, guarantee backed commercial paper is also a generalized kind of asset securitization. However, the traditional pricing methods of asset securitization, which focus on the medium and long term asset, do not apply to guarantee backed commercial paper. Therefore, the concept of utility maximization was applied in the present paper to obtain reasonable price and its constraint conditions. The potential issuer exhibits more behavioral rather than rational traits given the bargaining power of institutional investors, which are more common in commercial paper markets, and the consideration of risk and payoff affected by contingency. Thus, the cumulative prospect theory was used to capture different risk attitudes when individual facing gains or losses, and utility function of the issuer was presented via value and weight functions. Results have shown that mathematical model of pricing is just relevant to net profit and does not take risk attribute, weight function and parameter of market turbulence into account. Thus, the issuer it risk neutral in this circumstance. Furthermore, a case study was conducted by substitute parameters in pricing model and its constraint conditions with data gathered from relevant guarantee business of micro-credit companies in Jiangsu province. Simulation between total profit, issuance scale, price and concerned variables are performed with given reference point and profit function. Results have shown that this pricing method could help issuers to determine a reasonable range of pricing, and that the final price of the guarantee backed commercial paper is depend on supply-demand relationship and bargaining power of both sides in the market.

Key words: the perspective of the issuer, guarantee, asset securitization, cumulative prospect theory, pricing