【作者】 谈文胜；

【导师】 谢赤；

【作者基本信息】 湖南大学 ， 管理科学与工程， 2007， 博士

【摘要】 住房抵押贷款证券化是近30年来最重要的金融创新之一,对它的研究一直是金融领域的热点问题。2005年末中国住房抵押贷款证券化试点工作正式启动,加强对该领域相关问题的研究无疑具有重要的理论价值和现实意义。本文首先对住房抵押贷款证券化的基本原理加以研究,分析了资产证券化的内涵、资产证券化和住房抵押贷款证券化的关系、住房抵押贷款的主要类型、住房抵押贷款化的运作流程及其主要的优缺点。接着,本文对住房抵押贷款证券化的主要类型及其现金流问题进行了分析,并对影响住房抵押贷款证券化定价模型设定的两个主要因素,即利率期限结构模型和提前清偿预测模型进行了重点探讨。第三,本文对美国、加拿大、香港、英国、德国和澳大利亚住房抵押贷款证券化的具体运作模式加以分析和对比,将其规类为政府主导型的表外模式、市场主导型的表外模式、以及表内模式。在此基础上,本文研究得出结论:住房抵押贷款证券化模式的选择主要决定于证券化的最终目的,市场的发育状况、市场组织结构、所处的历史环境也对其有一定影响,中国住房抵押贷款证券化模式的选择应该由它的最终目的和市场的客观条件所决定。第四,本文探究了中国住房抵押贷款证券化应当采取何种模式及其结构设计问题。从宏观经济环境、住房抵押贷款市场环境和法律制度环境来看,中国已具备实施住房抵押贷款证券化的基本条件。通过分析各种住房抵押贷款证券化建议模式的优劣,本文指出以表内模式实施证券化无法解决目前中国银行业亟待解决的一个重要问题:分散银行的信贷风险,提高银行的竞争力。在中国开展证券化,表内模式并不合适。进一步,本文在分析中国建设银行住房抵押贷款证券化试点模式的基础上,指出该模式存在的3个方面的不足,即政府信用无法引入、对资产池中抵押贷款质量的监管缺位以及由财产信托模式所造成的证券化成本较高。针对以上这些不足并立足于中国现有的证券化法律框架和实施证券化的目标,本文提出可以构建基于信托的半政府半市场型证券化模式,采取财产信托和资金信托并举的方式来加以解决。在这一模式下,本文对中国住房抵押证券化流程、参与的主体和采取发行的证券化品种进行了详细设计。最后,本文构建了中国住房抵押贷款借款人提前清偿率预测模型,并将该模型与Hull-White模型整合在一起,利用扩展后的向前归纳法解决了过手证券、固定利率和浮动利率型转付证券的定价问题。研究发现,以内生模型来预测中国住房抵押贷款借款人提前清偿行为几乎不具有解释能力,以外生模型来预测借款人提前清偿行为是现有市场条件的现实选择;本文构建的定价模型不仅能够解决过手证券的定价问题,固定利率和浮动利率型的转付证券也能够很便捷的加以定价;住房抵押贷款证券化是一类典型的路径依赖型证券,本文提出了一种新的扩展后的向前归纳法来解决路径依赖型证券的定价问题;在对住房抵押贷款证券化定价模型进行敏感性分析的基础上,研究发现提前清偿模型的参数设置对住房抵押贷款证券化的定价结果有重要影响,其中尤以资产池的最低平均提前清偿率最为重要。对期限结构模型而言,模型的输入参数对转付证券中处于较高层次证券的价格影响较小,但对处于较低层次的证券有一定影响。本文无论在理论上还是在实证分析中,都作出了一定创新。同时,本文的研究结果对投资者和金融监管当局都具有一定的实际指导作用。更多还原

【Abstract】 Mortgage securitization is the most important financial innovation during the past thirty years; the research on this topic is always a basic research in finance field. With the introduction of the mortgage securitization of China in 2005, it is very urgent and significant to speed up the research on the mortgage securitization.In this dissertation, firstly the author studies the basic principles of the mortgage securitization, analyses the connotation of the asset securitization and the connections between the asset securitization and mortgage securitization, the main categories of the mortgages and the operation of the mortgage securitization and the merits and flaws of it.Then, the author analyses the main categories and the cash flows of the mortgage backed security (MBS). Two main factors, i.e. the term structure of interest rate model and the prepayment model, which influence the pricing models of the MBS are also researched.Thirdly, the author makes some analysis and comparisons among the operation patterns of U.S, Canada, Hong Kong, England, Germany, and Australia. These patterns are categorized into the out of balance sheet pattern with governmental dominance, the out of balance sheet pattern with commercial dominance, the in balance sheet pattern. On the basis of the analysis, the author finds that the choice of the operation pattern of the mortgage securitization is mainly decided by the ultimate objective and external environments.Fourthly, the author studies the pattern choice and the structure design of the mortgage securitization of China. From the perspectives of the micro economic environment, the market conditions of the mortgage and the institutional environment of the law, China has possessed the basic conditions of mortgage securitization. After the analysis of the merits and flaws of the proposed patterns during past years, the author points out that the in balance sheet pattern can not solve the urgent problem, i.e. the separation of the credit risks of the banking system, the promotion of the competitive abilities of the banking system. It’s improper to activate the mortgage securitization with the in balance sheet pattern in China. On the basis of the analysis of the operational pattern of the mortgage securitization of the China Construction Bank, the author points out the three flaws, i.e. the non-introduction of the governmental credit, the absence of the supervision and the high cost of the securitization, and puts forward a securitization pattern with semi-government and semi-market style and proposes that the capital trust should be incorporated with the asset trust in the securitization process. Under this pattern, the process and the main body of the mortgage securitization and the breeds of the MBS are also been designed.At the last part, the author constructs the pricing model of the MBS of China, which incorporated the prepayment model of the borrowers and the Hull-White model. The extended forward induction method is proposed to solve the pricing problems of the pass through, the fixed rate collateral mortgage obligations (CMOs) and the floating rate CMOs. After the empirical study, the author finds that it is proper to use the exogenous prepayment model to forecast the prepayment rate of the borrowers and the endogenetic prepayment model has little ability to explain the prepayment behavior of the Chinese borrowers of the mortgage. The pricing model can not only solve the pricing problems of the pass through, but also the fixed rate CMOs and floating rate CMOs. MBS is a kind of path dependent security; the extended forward induction method proposed in this dissertation can solve the pricing problems of the path dependent security. After the sensitivity analysis of the pricing model, the author finds that the parameters of the prepayment have great impact to the pricing results. As to the term structure model, the parameters have little impact to the pricing results of the higher tranches of the CMO, but have some impact to the lower tranches.In all, this dissertation makes some innovations not only in the theoretical analysis, but also in the empirical part. The findings will have some practical usefulness to the investors and supervisory authority.更多还原