Dynamic asset pool construction method having self feedback function

Abstract

The invention discloses a dynamic asset pool construction method with a self-feedback function, which mainly includes the following steps: obtaining a feature vector of a target asset pool through an asset screening module using a Cartesian product algorithm, and converting the vectorized assets into the asset package Match with it, supplement the size of the asset pool that is lost due to repayment every day, push the asset package to be put into the pool, mark the asset package that has been pushed, and then clear the feature vector of the assets that have not entered the asset package to be put into the pool; this method adopts A model combining Cartesian product and independent random events is used to satisfy the dynamic asset pool, keeping the size and structure of the asset pool consistent with the size and structure of the asset pool set by the target, and the system can automatically feedback the existing size and structure of the asset pool to converge depends on the size and structure of the target asset pool.

Description

technical field [0001] The invention relates to the technical field of financial engineering, in particular to a method for constructing a dynamic asset pool with a self-feedback function. Background technique [0002] In the asset securitization business, building an asset pool is one of the core contents of the asset securitization business. The construction form of asset pool is divided into static asset pool and dynamic asset pool. [0003] At present, it is mainly to build a static asset pool. The static asset pool itself is constructed, and the cash flow characteristics of the underlying assets are used to simulate the flow of future cash flow. Static asset pools are suitable for assets with simple cash flow characteristics and relatively uniform maturity. For assets with complex cash flow characteristics, it is necessary to build a dynamic asset pool. The existing dynamic asset pool construction is also a simple non-self-feedback dynamic asset pool, which cannot we...

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Problems solved by technology

[0005] 1. Once the static asset pool is established, it is impossible to adjust the asset pool. For the asset securitization business, the interest income of the backing assets is on a downward trend, and the asset pricing is low, which in turn leads to lower bond pricing;

[0006] 2. Once the static asset pool is established, it is impossible to adjust the asset pool. For situations with complex cash flow characteristics, such as high prepayment rate and inconsistent repayment cycle, it cannot be well applied to situations with complex cash flow characteristics;

[0007] 3. At present, the screening of assets is mainly manual screening, which is inefficient;

[0008] 4. The existing non-self-feedback dynamic asset pool composition method, the screening conditions are linear conditions, and the adjustment method is single, which cannot maintain the structure of the asset pool, and cannot achieve dynamic feedback and automatic adjustment of the size of the asset pool according to changes in the nature of the asset pool assets , structure, cannot converge to the target asset pool structure, and the support under the parallel state of multiple asset pools is insufficient

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