1、本科毕业论文（设计）外文翻译原文SECURITIZATIONOFFINANCIALASSETSASSETBACKEDSECURITIZATIONABSISAFINANCIALTOOLWHICHALLOWSFINANCIALINSTITUTIONSUSUALLYCOMMERCIALBANKSTOMOVEUNMARKETABLEASSETSEGLEASEASSETS,MORTGAGEASSETSORCOMMERCIALPAPERSFROMTHEIRBALANCESHEETSINEXCHANGEFORALONGTERMLOANWHICHCANBEPLOUGHEDBACKINTOMOREPROFITA
2、BLEINVESTMENTSMOREPRECISELY,THEFINANCIALASSETSARECONVERTEDINTOBONDSSOCALLEDNOTESANDTHEPROCEEDSOFTHEIRMARKETISSUANCEBECOMEALONGTERMLOANFORTHEASSETSOWNERTHEORIGINATORWEWILLLOOKATTHEABSOPERATIONMAINLYFROMTHEPOINTOFVIEWOFTHISFINANCIALINSTITUTIONOURANALYSISWILLCONCENTRATEONTHECRITICALPHASEOFTHEABSOPERATI
3、ONAVOIDINGTODESCRIBEINDETAILTHEROLEOFSOMEOFTHEPARTICIPATINGOPERATORS,SUCHASBANKSANDINSURANCECOMPANIES,WHICHPROVIDETHECREDITPROTECTIONRISKHEDGINGOFTHEOPERATIONITSHOULDBENOTEDTHATTHEISSUEOFCREDITPROTECTIONISANINTERESTINGRESEARCHTOPICINITSELFHOWEVER,THECORRESPONDINGFEATURESSUCHASCREDITGUARANTEESANDCASH
4、FLOWRISKINESSAREBEYONDTHESCOPEOFTHISPAPERINANABS,THEASSETSARESOLDBYTHEORIGINATORTOASPECIALPURPOSEVEHICLESPV,ANINSTITUTIONCREATEDSOLELYFORTHATPURPOSETHESPVFUNDSTHEPURCHASETHROUGHISSUINGDEBTSECURITIESTHENOTESWHICHARECOLLATERALIZEDBYTHEASSETSNOTETHATTHEASSETSTRANSFERISATRUESALETHUS,IFTHEORIGINATORBECOM
5、ESINSOLVENTORISINVOLVEDINBANKRUPTCYTHETRANSFERREDFINANCIALASSETSWILLNOTBEPARTOFTHEBANKRUPTCYASSETSTHISMAKESTHENOTESANINTERESTINGINVESTMENTOPPORTUNITYINAPASSTHROUGHPAYMENTSCHEMETHEFINALINVESTORSWHOBUYTHESENOTESRECEIVEPERIODICINFLOWSINTERESTSONTHEIRINVESTMENTSTHESEAREDIRECTLYRELATEDTOTHEPERIODICINSTAL
6、LMENTSPAIDBYTHEHOLDERSOFTHEASSETSEGLESSEESORMORTGAGEHOLDERSTOTHEORIGINATOREGTHELESSORUSINGTHEABSSTRUCTURETHEORIGINATORBYPASSESTHEPROBLEMOFANIMPOSSIBLEOUTRIGHTSALEOFITSASSETSANDTHUSREDUCESITSOVERALLEXPOSURETOTHEMFORINSTANCE,LEASEORMORTGAGECONTRACTSWHICHTIEUPTHECAPITALOFLEASINGCOMPANIESCANBEMOVEDINTON
7、OTESTHISREPLACEMENTOFILLIQUIDASSETSIMPROVESTHERETURNONEQUITYROEFROMTHEPOINTOFVIEWOFTHEORIGINATOR,ANABSALLOWSTHEACHIEVEMENTOFTHREEMAINFINANCIALOBJECTIVES1REPLACEMENTOFTHEASSETSINTHEBALANCESHEET,THEREBYIMPROVINGROEANDALLOWINGIFTHEORIGINATORISABANKAMOREFLEXIBLEKEEPINGOFTHEASSET/LIABILITYCOMPOSITIONCONS
8、TRAINTSIMPOSEDBYTHECONTROLAUTHORITIESIETHECENTRALBANK2DIVERSIFICATIONOFFUNDSOURCESALTHOUGHTHEORIGINATORMAYBELOWRATED,ITSNOTESUSUALLYGETAHIGHERRATINGEGAAADUETOTHEPRESENCEOFBANKSANDINSURANCECOMPANIESWHICHGUARANTEETHEWHOLEOPERATIONTHISIMPLIESTHATSUCHNOTESCANBEDEALTONTHEMAINFINANCIALMARKETSALLOWINGTHEOR
9、IGINATORTOREACHMARKETSWHICHWOULDOTHERWISEBEUNACCESSIBLEFORHIMSINCEATTENDEDONLYBYMOREESTABLISHEDCOMPANIES3HIGHERRATEDNOTESAREMORERELIABLEINVESTMENTSANDTHUSAREALLOWEDTOPAYLOWERINTERESTRATESTOHOLDERSIFTHECOSTTOGETAHIGHERRATINGISLOWERTHANTHESAVINGOBTAINEDBYISSUINGNOTESWITHHIGHERRATING,THENTHEGLOBALCOSTT
10、OACQUIREFUNDSDECREASESLETUSASSUMETHATANINSTITUTIONWITHABBRATINGCANGETMONEYATARATESUCHASLIBORLONDONINTERBANKOFFERINGRATEPLUS150BASISPOINTSSUCHANINSTITUTION,ASORIGINATOR,MAYDECIDETOPAYANADDITIONAL100BASISPOINTSTOGETCREDITWARRANTIES1ANDBEABLETOISSUENOTESWITHRATINGAAAATTHECOSTOFLIBORPLUS10BASISPOINTSINT
11、HISCASEANABSWILLPRODUCEASAVINGONINTERESTRATESOF40BASISPOINTSTHISSITUATIONAPPLIESINPRACTICE,SINCETHEREISNOEFFICIENTMARKETFORTHEUNDERLYINGASSETSTHEINTERESTINTHISFINANCIALOPERATIONDRASTICALLYINCREASEDINTHELASTYEARSALLOVEREUROPEINITALY,ONEOFTHEMOSTRECENTANDRELEVANTABSHASBEENPERFORMEDBYTHEPULICINSTITUTIO
12、NINCHARGEOFTHEMANAGEMENTOFTHESOCIALSECURITYSYSTEM,IETHEISTITUTONAZIONALEDELLAPREVIDENZASOCIALEINPSTHISOPERATIONHASALLOWEDINPSTOMOVEDELINQUENTCONTRIBUTIONSFROMITSBALANCESHEETOTHERTRANSACTIONSOFTHISTYPETOOKPLACEINTHEAREAOFPUBLICHOUSINGAGENCIESTHEINTERESTINTHISFINANCIALOPERATIONDRASTICALLYINCREASEDINTH
13、ELASTYEARSALLOVEREUROPEINITALY,ONEOFTHEMOSTRECENTANDRELEVANTABSHASBEENPERFORMEDBYTHEPUBLICINSTITUTIONINCHARGEOFTHEMANAGEMENTOFTHESOCIALSECURITYSYSTEM,IETHEISTITUTONAZIONALEDELLAPREVIDENZASOCIALEINPSTHISOPERATIONHASALLOWEDINPSTOMOVEDELINQUENTCONTRIBUTIONSFROMITSBALANCESHEETOTHERTRANSACTIONSOFTHISTYPE
14、TOOKPLACEINTHEAREAOFPUBLICHOUSINGAGENCIESMANYPAPERSDEALINGWITHABSFROMAMODELLINGPOINTOFVIEWHAVEAPPEAREDINTHELASTFEWYEARSSINCEANEXTENSIVEREVIEWISBEYONDTHESCOPEOFTHISPAPERWEWILLONLYMENTIONTHEPAPERSBYKANGANDZENIOS6,7ANDBYMANSINIANDSPERANZA12,13ANDREFERTOTHEREFERENCESGIVENTHEREINFORABETTERINSIGHTINTHECOM
15、PLEXPROBLEMOFSECURITIZATIONWESUGGESTTHETEXTBOOKS3,5,15INPARTICULAR,MOTIVATEDBYTHEANALYSISOFAREALWORLDCASE,MANSINIIN11ANDTHENMANSINIANDSPERANZAIN12HAVESTUDIEDTHEPROBLEMOFOPTIMALLYSELECTINGTHEASSETSTOREFUNDTHELOANINTHEIRCASEONLYLEASEASSETSARECONSIDERED,ALTHOUGHMANYOTHERTYPESOFASSETSHAVETHESAMEBASICCHA
16、RACTERISTICSINTHEIRPAPERTHEOUTSTANDINGPRINCIPALOFTHEASSETSISCOMPUTEDBASEDONCONSTANTGENERALINSTALLMENTSTHESOCALLEDFRENCHAMORTIZATIONTHERESULTINGPROBLEMOFSELECTINGASSETSATAUNIQUEDATECANBEMODELLEDASADDIMENSIONALKNAPSACKPROBLEM,WHICHISHARDLYTRACTABLEBYEXACTALGORITHMSBUTISTYPICALLYSOLVEDBYCONSTRUCTIVEHEU
17、RISTICSSEEEG1,16ORMETAHEURISTICSSEEEG2,4THEAUTHORSALSOSHOWTHATINTHESPECIALCASEWHEREALLLEASEASSETSSHARETHESAMEFINANCIALCHARACTERISTICSAMORTIZATIONRULE,INTERNALINTERESTRATEANDTERMALLBUTONECONSTRAINTTURNOUTTOBEREDUNDANTANDHENCETHEMODELREDUCESTOACLASSICAL01KNAPSACKPROBLEMKP,WHICHISRELATIVELYEASYTOHANDLE
18、CF8,9,14SEE10FORAGENERALINTRODUCTIONTOKNAPSACKPROBLEMSTHEIRWORKDOESNOTTAKEINTOACCOUNTTHEOCCURRENCEOFADIFFERENTRULEFORTHEASSETAMORTIZATIONINMANYPRACTICALAPPLICATIONSBOTHFORLEASEANDMORTGAGECONTRACTSTHECUSTOMERSRECEIVINGTHEASSETSCHOOSETOPAYBACKTHEIRDEBTBYCONSTANTPERIODICPRINCIPALINSTALLMENTSTHERULEISKN
19、OWNASITALIANAMORTIZATIONUPTONOWTHISCOMMONRULEHASBEENTOTALLYIGNOREDINMODELSFORMALIZATIONTHEOBJECTIVEOFTHISPAPERISTWOFOLDFIRSTOFALLWEINNOVATEWITHRESPECTTOPREVIOUSMODELINGAPPROACHESBYINTRODUCINGAGENERALMODELTOSELECTFINANCIALASSETSATMULTIPLEDATESTHEMOTIVATIONDERIVESFROMTHEPRACTICALNEEDOFFINDINGALTERNATI
20、VEANDPOSSIBLYMOREEFFECTIVEFORMULATIONSFORTHEPROBLEMOFASSETSELECTIONINABSTOACHIEVEABETTERUTILIZATIONOFTHELONGTERMLOANSECONDLY,WEANALYZETHEFREQUENTLYENCOUNTEREDPRACTICALCASEINWHICHTHEASSETSLEASEORMORTGAGECONTRACTSAREPAIDBACKBYCONSTANTPERIODICPRINCIPALINSTALLMENTSITALIANAMORTIZATIONRULEINTHISWAYTHEPAPE
21、RAIMSTOPROVIDETHEANALYSISOFANALTERNATIVEAMORTIZATIONRULEAVAILABLEINPRACTICEASWELLASTHEDEVELOPMENTOFBETTERTOOLSFORTHEINSTITUTIONSRESPONSIBLEFORTHEPLANNINGANDMANAGEMENTOFABSBEFOREDEFININGTHENEWMODELWESHOULDGIVEAMOREDETAILEDSKETCHOFTHEABSPROCESSTOHELPTHEREADERINVISUALIZINGANDBETTERUNDERSTANDINGTHESTRUC
22、TUREOFANABSPROCESSTHESPVISSUESNOTESONTHEFINANCIALMARKETRECEIVINGFUNDSFROMINSTITUTIONALINVESTORSWHOPURCHASETHENOTESANDHOLDTHEMUNTILMATURITYSUBJECTTOTHEAVAILABILITYOFACCEPTABLESHORTTERMFINANCINGTHEPROCEEDSOBTAINEDBYTHENOTESISSUANCEAREUSEDBYTHESPVTOMAKEREVOLVINGPURCHASESOFTHEUNRATEDASSETSFROMTHEORIGINA
23、TORTHELATTERRECEIVESALONGTERMLOANWHICHISPAYABLESOLELYBYASSETSINPARTICULAR,THEORIGINATORHASTOSELECTTHEASSETSTOBEHANDEDOVERFORTHELOANREIMBURSEMENTTHESEASSETSARECONVERTEDINTOTHENOTESISSUEDBYTHESPVTHEASSETSWHICHAREINCLUDEDINANABSPROCESSHAVETOBESELECTEDINAWAYSUCHTHATTHESUMOFTHEIROUTSTANDINGPRINCIPALSNEVE
24、REXCEEDSTHEOUTSTANDINGPRINCIPALOFTHERECEIVEDLOANFROMNOWONSIMPLYTHEMAINOUTSTANDINGPRINCIPALATANYPOINTINTIMENOWINORDERTOMAXIMIZETHEFINANCIALGAINOFTHEOPERATIONTHECRITICALPROBLEMFORTHEORIGINATORCONSISTSOFMINIMIZINGTHEGAPBETWEENTHEMAINOUTSTANDINGPRINCIPALANDTHEOUTSTANDINGPRINCIPALOFTHESELECTEDASSETSOVERA
25、LLPOINTSINTIMETHISGAPCONSTITUTESALOSSOFPROFITDUETOMISSINGMOREPROFITABLEINVESTMENTSWITHHIGHERYIELDSACTUALLY,THEAREAOFTHEMAINOUTSTANDINGPRINCIPALCOVEREDBYTHESUMOFOUTSTANDINGPRINCIPALSOFTHEHANDEDOVERASSETSYIELDSARETURNFORTHEORIGINATOREGTHELESSORDEPENDINGONTHEDIFFERENCEBETWEENTHEPERCENTINTERESTRATEPERYE
26、ARSAYTHATTHEORIGINATORGOTFROMITSCUSTOMERSEGTHELESSEESANDTHELOWERPERCENTINTERESTRATESAYPAIDTOTHENOTEHOLDERSIFTHESUMOFTHEOUTSTANDINGPRINCIPALSOFTHESELECTEDASSETSHASAGLOBALREIMBURSEMENTPROFILEWHICHDECREASESMORERAPIDLYTHANTHATOFTHEMAINOUTSTANDINGPRINCIPAL,THENTHEORIGINATORGETSFUNDSFROMITSCUSTOMERSINADVA
27、NCEWITHRESPECTTOTHEDEADLINEATWHICHITSHOULDPAYTHECAPITALINSTALLMENTTOTHESPVSUCHFUNDSHAVETOBEREINVESTEDINSOMEPREDEFINEDTYPEOFINVESTMENTSINDICATEDINTHEABSAGREEMENTTHESEINVESTMENTSLASTFORABRIEFPERIODFROMTHEDATEINWHICHTHEYAREAVAILABLETOTHEFOLLOWINGDATEOFREIMBURSEMENTFORTHEMAINLOANANDUSUALLYYIELDAVERYLOWI
28、NTERESTRATESAY0GIVENTHERATEPAYEDFORTHENOTESITFREQUENTLYHAPPENSTHATISCLOSETOZEROANDMAYALSOBENEGATIVEINVOLVINGALOSSFORTHEORIGINATORTHISJUSTIFIESTHEINTERESTINMINIMIZINGTHEGAPBETWEENTHETWOPROFILESANDSTRESSESTHEIMPORTANCEOFSTUDYINGALTERNATIVESHAPESFORTHEOUTSTANDINGPRINCIPALSANOTHERIMPORTANTASPECTINANABSP
29、ROCESSISTHERISKOFASSETSPREPAYMENTCFSCHWARTZANDTOROUS18ADECLINEININTERESTRATESMAYCAUSEANEARLIERREPAYMENTOFTHEOUTSTANDINGPRINCIPALTOTHEORIGINATORBYSOMEOFTHELESSEESCLEARLY,SUCHAPREPAYMENTDECREASESTHESUMOFTHEOUTSTANDINGPRINCIPALSOFTHEASSETSANDHENCEHASANEGATIVEEFFECTONTHEVALUEOFTHEOBJECTIVEFUNCTIONOVERTI
30、MESINCETHEGAPTOWARDSTHEMAINOUTSTANDINGPRINCIPALINCREASESFORSOMETYPESOFASSETSSUCHASAUTOLOANSORCREDITCARDRECEIVABLESTHISPREPAYMENTISUNUSUALHOWEVER,LEASINGLIKEASSETSDOFACETHERISKOFINTERESTRATEBASEDPREPAYMENTSINCEPREPAYMENTEVENTSARENONPREDICTABLETHEYCANNOTBETAKENEXPLICITLYINTOACCOUNTINADETERMINISTICOFFL
31、INEOPTIMIZATIONMODELIMPLICITLY,ITISASSUMEDTHATALLASSETSHAVETHESAMEPROBABILITYOFPREPAYMENTINALLCASESWHERETHERISKOFEARLYPAYBACKSISPARTICULARLYHIGH,AREOPTIMIZATIONOFTHEWHOLEABSPROCESSATALATERPOINTINTIMEISSTRONGLYRECOMMENDEDCONCERNINGTHETIMELINE,INOURCASETHEASSETSAREHANDEDOVERBYTHEORIGINATORANDPURCHASED
32、BYTHESPVSTARTINGATACLOSINGDATEINITIALDATEFORTHELOANANDONAFIXEDBASISTHEREAFTERDURINGTHESOCALLEDREVOLVINGPERIODEACHDATEATWHICHAPURCHASETAKESPLACEISCALLEDSETTLEMENTDATETHEASSETSHANDEDOVERBYTHEORIGINATORATTHECLOSINGDATEANDTHEREAFTERATTHESETTLEMENTDATESARECOLLECTIVELYREFERREDTOASTHEINITIALANDSUBSEQUENTPO
33、RTFOLIOS,RESPECTIVELYISSUEDNOTESYIELDANINTERESTPAYABLEONPERIODICBASESUSUALLYQUARTERLYANDAREREDEEMEDATDIFFERENTFINALMATURITYDATESFORTHISREASON,NOTESAREDIVIDEDINTOTRANCHESCHARACTERIZEDBYDIFFERENTDEADLINESTHEREIMBURSEMENTTOTHEHOLDERSOFTHEPRINCIPALSOFATRANCHEOFNOTESCORRESPONDSTOAREIMBURSEMENTINSTALLMENT
34、OFTHEMAINOUTSTANDINGPRINCIPALHENCE,THEOUTLINEOFTHEOUTSTANDINGPRINCIPALOFTHELOANHASASMANYINSTALLMENTSSTEPSASTHENUMBEROFTRANCHESOFNOTESWITHDIFFERENTMATURITYISSUEDONTHEMARKETTHEMAINSOURCEOFPAYMENTOFINTERESTANDPRINCIPALONNOTESARERECOVERIESARISINGOUTOFTHEASSETSINPARTICULAR,THECASHFLOWDERIVINGFROMASSETSIS
35、USEDBYTHESPVTOSATISFYITSOBLIGATIONSTOTHEHOLDERSOFNOTESNATURALLY,THEOUTSTANDINGPRINCIPALOFANASSETDEPENDSONTHERULEUSEDFORAMORTIZATIONASMENTIONEDABOVE,TWODIFFERENTRULESMAINLYAPPEARINPRACTICEINTHEFIRSTRULE,USUALLYKNOWNASFRENCHAMORTIZATION,THEGENERALPERIODICINSTALLMENTSUMOFPERIODICINTERESTSANDPRINCIPALIN
36、STALLMENTISCONSTANTOVERTIMEINTHISCASETHECUSTOMERSWHOHOLDASSETSMORTGAGEORLEASECONTRACTSHAVETOPAYTHESAMECONSTANTAMOUNTATEACHDEADLINESINCETHEPRINCIPALINSTALLMENTSINCREASEGEOMETRICALLYOVERTIMESEEFIGURE2B,THEOUTSTANDINGPRINCIPALCANBEAPPROXIMATEDBYACONCAVEPIECEWISELINEARFUNCTIONSOURCEDBERTSIMASANDRDEMIRSE
37、CURITIZATIONOFFINANCIALASSETSAPPROXIMATIONINTHEORYANDPRACTICECOMPUTATIONALOPTIMIZATIONANDAPPLICATIONS,200429,P147171译文金融资产证券化资产证券化ABS是一种金融工具,它可以让金融机构通常是商业银行的流动资产如租赁资产滞销,抵押资产或商业证件在他们的资产负债表中转换为长期贷款（可以把利润再投资进入更有利可图的投资）。更确切地说,金融资产转换为证券也称为纸币之后，发行证券的收益就成为各项资产所有者的长期贷款。我们主要从金融机构的角度来看资产支持型证券的经营情况。我们的分析将集中在关键
38、阶段ABS的操作上，避免去详细描述参与经营者的角色，如银行和保险公司提供信用保护风险规避的经营情况。它应该是在自身范围内指出信用保护问题研究的热点。然而,相应地,信用担保和现金流都超出了本文风险的范围。在ABS项目中，发起机构把资产出售给特设载体SPV,它是一个专为达到这一目的而创造的机构。SPV可以通过发行资产抵押证券来资助这一购买。值得注意的是，资产转移是一个真实的销售。因此,如果发起人破产或参与破产了，他所转的金融资产将不能列入破产财产。这使得债券成为一个有趣的投资机会。投资者通过付款计划在买了这些债券后收到他们的定期投资流入利益。这会直接关系到分期付款的持有者例如承租人的资产抵押贷款持
39、有者支付利润给发起人例如出租人。采用ABS结构的发起人容易忽略一个问题，那就是这些资产不可能直接出售,从而降低了它对他们的整体暴露。例如，租赁公司出租、抵押的合同中占着的资本可能会转换成债券。这个替代的非流动性资产可以提高资产收益率。从发起人的角度来看，一个ABS允许的三个主要财务目标成就如下1、更换资产在资产负债表中的比例,从而提高股本回报率,并允许如果发起人是银行一个更灵活的资产负债组成比例，但这由管理机关限制如中央银行；2、基金来源的多元化。虽然发起人得到很低的价钱,但它的债券通常有更高的等级例如AAA。这意味着这些票据可以在主要的金融市场上运行，并允许发起人进入金融市场。然而这个市场只
40、有通过更多的知名企业否则会达不到这一目的；3、更高额定票据是更可靠的投资。它可以支付较少的利息给债券持有人。如果通过发行高定额票据，获得更高等级债券的成本比储蓄获得的利息还要低，那么获取资金的总成本将会减少。让我们假定一个BB评级机构可以按一定利率伦敦同业银行间拆借利率获得利息,再加上150基点。这样的发起机构可以决定支付额外的100个基点,获得信贷担保,并且能够发行AAA等级票据并以银行利率为代价外加10个基点。在这种情况下，一个ABS将会节约40个基点的银行利率。如果将这种情况应用于实践中,对于基本资产来说并没有有效的市场。然而这一金融的运行在过去两年中大幅度加快了整个欧洲的发展。在意大利
41、最近几年，最重大的相关资产支持型证券是由公共事业声誉管理机构（社会保障体系INPS管理的。该操作允许INPS将债务从它的资产负债表中移出。而其他这种类型的交易发生在该地区的公有住房机构中。在最后几年，整个欧洲的金融运行大大加强。最近在意大利，相关ABS项目已进行公众收集社会保障制度的管理费。此操作使得社会保障局提出将拖欠的资产从它的资产负债表中移出。其他这种类型的交易发生在该地区的地方公共住房机构。从造型上看ABS的交易出现在很多论文中。在此我们将只提康有为和再尼奥斯6，7和斯珀兰萨12，13其中给出的参考。为了更好地了解复杂的问题，我们将建议参考教科书3，5，15。这里我们来参考下斯珀兰萨1
42、2研究的优选资产的问题。虽然很多其他资产类型具有相同的基本特征，但在他们的情况下，只有租赁资产被认为是贷款。他们在未偿还本金资产计算的基础上不断分期付款（即所谓的摊销），产生的资产在唯一的日期问题上可以建模作为一个D维背包问题，这是很难驯服的，但通过精确算法可以有建设性的解决方法（如见1，16）或启发灵感（例如，见2，4）。作者还表明，在特殊情况下，所有租赁资产与财政的所有特征（摊销规则，内部利率和期限）相同。但这一约束是多余的，因此模型减少到经典01背包问题（KP），这是比较容易处理的（参见8，9，14）。其实他们的工作并没有考虑到资产摊销的不同规则。在许多实际应用中，出租（和抵押合同）客户
43、选择资产通过不断的分期付款来偿还其债务（该规则是意大利著名摊销）。注册到了现在，这个共同的规则已被完全忽略了，而成为了模型的形式化。这篇文章的目的是双重的。首先我们通过引入一种通用的模型来选择金融资产。这是按照实际需要找到替代品并且尽可能有效地进行资产问题选择且实现较好的长期贷款。其次，我们分析了实际经常遇到的通过不断定期分期付款来偿还的资产案件出租、抵押合约条款，主要形式是分期摊销意大利规则。本文提供了一种摊销规则，并提供了在实际应用中可行的方法以及更好的负责ABS计划和管理的工具机构。定义新模型之前,我们应该给出一份更加详细的草图ABS过程，帮助读者在肉眼上更好地理解和观察资产支持型证券的
44、组成过程。交易机构从金融市场机构的投资者那领取资金购买票据，并把他们到期限的供应问题转变为短期融资问题。发行票据所获得的收益将用于交易机构从原创者那购买未分级的资产。后者收到了长期贷款后则完全由资产付款（特别是发起人选择资产交付贷款的还款方式），这些资产就“转换”为交易机构发行的票据。ABS过程包括资产已被选中的方式，这样他们的本金总和在任何时间点都不会超过（未偿还本金从现在开始）所收到的贷款未偿还本金。现在，为了最大限度地提高操作，关键问题在于尽量减少所有时间点之间的主要未偿还本金和选定的资产（主要包括财政收益）的差距，这种差距构成了利润损失。由于缺少较高的收益率，所以这是一个更有利可图的投
45、资。其实，这里的ABS过程主要以资产收益率为发端，由每年百分之几的息差而定（如出租人）。该地区未偿还的本金包括以资产收益率（如）为发端和每年百分之几（如）的利息来决定的移交资产的返回本金和，然后用低利率百分之几支付给票据持有人（如出租人）。如果所选择的资产的本金偿还金额有一个全局配置文件从而会降低速度，如果超过了主要未偿还本金，那么发端提前得到的资金与客户在最后期限应缴纳的资金都分期付款给SPV。这些资金必须投资在一些预定义的协议（如在ABS类型的再投资）中。这些投资将会持续一段短暂的时间（他们提供给偿还贷款的主要日期）并通常给以非常低的利率（SAY0）。鉴于利率为票据利率，接近于零，也可能是
46、负的，也就是发端的损失。这一实例证明减少了两者之间的鸿沟，并强调了其重要性。ABS过程中的另一个重要方面就是ABS有一个资产预付款项（参见施瓦茨TOROUS18）的风险问题。在利率下降的情况下可能会导致所需偿还的早期未偿还本金部分由承租人承担。显然，这样的预付款降低了资产的本金总和，因此占有自主未偿还本金将会增加在时间间隔上目标函数值的负面影响。对于汽车贷款或信用卡应收款的资产类型，这笔预付是不寻常的。然而，租赁类资产面临着利率的提前还款风险。由于预付事件是不可预测的，他们并不能明确采取确定性离线优化模型（这是假设所有资产有相同概率的预付款）。在所有情况下，早期的赢利回报风险是相当高的，所以重
47、新优化是ABS的强烈推荐。关于时间线的问题，我们是规定在资产移交结束后，从购买的截止日期（贷款初始日期）起，SPV在一个固定的基础上。此后，在每一个日期发生购买被称为结算日，移交的截止日期（即发端及资产其后的结算日）被统称为初期，这就是循环周期。随后的投资组合分为发行债券的收益率基础上的定期利息（通常季刊）和不同的最终到期日赎回的日期。基于这个原因，票据付款期限有不同的特点。票据持有人偿还本金是对应一个主要的未偿还本金进行分期偿还。因此，未偿还的贷款本金以分期付款（步骤）作为付款编号在市场上发行不同到期票据。支付利息及债券本金的主要来源是回收资产，特别是使用特殊交易机构的资产所产生的现金流来满足其义务的票据持有人。当然，资产的未偿还本金的摊销取决于所使用的规则。如上所述，两个不同的规则主要表现在实践中。在第一个规则中，通常正如摊销，一般已知的周期分期（定期利益的总和和主要配置）不随时间变动。在这种情况下，谁持有客户资产（抵押或租赁合同）就必须在每个规定的期限内支付相同的数额。随着主要分期付款随时间几何地增加（见图2（B）项），未偿还本金可以近似于一个凹分段线性函数。出处DBERTSIMAS和R德米尔金融资产证券化理论与实践的接近计算的优化与应用，2004（29）P147171
