摘要
近 40 年的发展历程中，资产证券化得到超常的发展和扩张，已成为全球资本市
场发展的重要推动力，在世界金融市场发挥重要作用。我国在 2012 年重起资产证券
化试点工作，国内的资产证券化稳步推进，呈现出新一轮增长态势。作为结构性融资
创新，资产证券化要在中国市场稳健发展，需要机制设计、法律规范、税收改革等一
系列举措的保障。本研究尝试用博弈论方法研究资产证券化的交易机制，分别从非合
作博弈和合作博弈两个角度分析资产证券化交易中的价格发现问题，为当前我国资产
证券化交易机制设计提供一定建议。

本文首先分析了资产证券化交易机制的本质与作用、主要交易出体，创新性得把
资产证券化交易整体看做真实出售交易、证券交易与金融服务交易三种子交易类型的
集合，并分别研究了各子交易的交易机制现状。然后，从非合作博弈角度出发，提出
交易机制是各主体自身收益最大化时的均衡；在认可资产证券化中证券交易与金融服
务交易的已有交易机制设计的同时，利用“双向拍卖”模型对真实出售交易环节的价
格发现问题做了重点研究：从理论上说明了资产证券化业务可以使发起人和特殊目的
机构（SPV）两个主要参与主体都获益，论证了发起人估价水平与议价能力对交易成
功的重要性，并提出了非合作博弈角度下交易机制设计建议：以 SPV 为核心，建立模
块化交易机制；双向拍卖实现真实出售交易价格发现；依托已有机制完善资产证券化
交易机制设计。最后，合作博弈角度，提出，资产证券化交易价格发现可以看做是各
参与主体组成交易联盟的利益分配问题；研究在 Shapley 值基础模型构建与分析的基
础上，充分考虑资源投入、风险承担等因素，提出一种复合的收益分配方案，并提出
合作博弈角度下价格发现机制设计建议：建立整体统筹交易机制，合作实现资产证券
化；依据参与主体贡献量和风险承担量实行利益分配、科学设置收益分配影响因素权
重。

关键词：资产证券化；交易机制；博弈；价格发现；双向拍卖；Shapley 值

Abstract
Nearly 40 years of development, asset securitization gets supernormal development
and expansion. It has become an important impetus to the development of the global capital
market, and plays an important role in the world financial markets. With the 2012 restart
securitization pilot work, asset securitization in China has made steady progress and
presents a new round of growth. As structured finance innovation, asset securitization needs
mechanism design, legal norms, guarantee of tax reform and a series of measures to the
stable development in the Chinese market.This study trys to use game theory method to
study trading mechanism of asset securitization, and analyzes asset securitization
transaction price discovery problem respectively from the angles of non-cooperative game
and cooperative game, to provide some Suggestions for the current asset securitization in
our country trading mechanism design.
This article first analyzes the asset securitization transaction mechanism and function,
the trading main body. What is more, the paper innovatively considers the asset
securitization transaction as a set of three seed collection of transaction type: true sale and
trading of securities and financial services, and studys the trading mechanism of each
transaction.Then, from the Angle of the non-cooperative game, this article puts forward that
trading mechanism is the equilibrium when main bodies own their maximum profit; In
recognition of asset securitization trading mechanism design in the trading of securities and
financial services, paper focuses on the issue of price discovery of true sale by “double
auction” model. I theoretically explains the assets securitization can make the originator
and special purpose vehicle (SPV) two main participation main body benefit, demonstrates
the importance of the originator valuation levels and the bargaining power for trading
success, and puts forward the mechanism design suggestions: SPV-oriented, seting up
modular trading mechanism;double auction for real sale price discovery;relying on the
existing mechanism to perfect the asset securitization transaction mechanism design.Finally,
from the cooperative game Angle, the paper puts forward asset securitization transaction
price discovery can be seen as interests allocation problem of each participation main body
of trade union; based on the Shapley value model building and analysis on the basis of fully
considering the factors such as resources, risk-taking, research puts forward a kind of
mulriple scheme, and puts forward mechanism design proposal: to establish the overall