在商業票據職能和資產支持商業票據融資潛在風險基礎上,提出保函支持商業票據發行融資方式。考慮保函支持商業票據發行的客觀基礎和主觀動因,通過分析發行過程中各參與者之間利潤分配確定發行者收益函數。進一步利用累積前景理論,引入價值函數和決策權重函數構建發行者的效用函數,得出發行者效用最大化的保函支持商業票據最優定價及最優定價約束條件。最后,結合部分參數的現實取值,對定價與所選取的自變量之間的關系進行仿真。結果表明,在既定的參照點和基礎收益函數結構下,發行者效用最大化條件下的最優定價與主體風險屬性和市場隨機干擾無關,發行者表現出風險中性特征;最優定價和最優發行規模在不同凹凸性的支配下,均隨著分享系數的增加而單調遞增。

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.