【作者】 郭向东；

【导师】 张维；

【作者基本信息】 天津大学 ， 金融学， 2006， 硕士

【摘要】 针对于目前市场缺少关注中国市场和借款人提前还款行为特点的MBSs定价方法的局面,本文提出了一种创新的,全面的MBS定价方法。这种方法考虑到了中国抵押贷款市场的特殊性,同时也考虑了这个资本市场未来的发展方向,并且结合了目前理论界的最新研究成果,适合于发行机构应用,直观、易行。本文的定价方法,包括了三个大的部分。第一部分构建了适合中国国情的提前还款模型。文中认为国内的提前还款来源,主要来自于收入和支付能力的提高,文中也研究了再融资贷款对提前还款的影响,并建立了这两种因素的相关模型。然后根据两个模型考虑了单因素和双因素两种情况,计算出相应的单月提前还款率(SMM)。在两种模型的构建和关键量SMM的推导方面,本文综合了国外学者最新的关于考虑借款人异质性(heterogeneity)的提前还款模型方面的相关成果,在模型中考虑了异质性因素,如在再融资决策模型中,加入了交易成本因素,并假设其服从beta分布,通过概率的变换得到SMM。定价方法中的第二个重要部分是对于利率期限结构的确定。本文主要采用了CIR双因子模型计算短期利率和长期收益率。并且采用卡尔曼滤波方法估计CIR双因子模型参数。同时也研究了房贷利率和相同期限国债收益率之间的关系。定价方法的最后利用估计参数进行蒙特卡罗仿真研究。在不同路径上模拟未来利率,同时利用提前还款模型对每条路径上的SMM进行计算,得到未来各期的现金流在某时点的折现值,而后对多条路径上的价格求算术平均值作为MBS的理论价格。更多还原

【Abstract】 This dissertation has proposed a innovative and compelete MBS pricing method. This method considers of the particularity of Chinese secured-loan markets and the developing direction of market at the same time. The method also combines the latest research results at present. This method is suited to SPV(special purpose vechile) to use practically and scientificly.The pricing method includes three parts. In Part one the paper builds prepayment models describing the particularity of Chinese people.And the author concludes that the prepayment source mainly comes from the improvement of income.In this part also a model is included,which is based on refinancing prepayment. Then the author calculates the corresponding Single-monthly-mortality (SMM) of the single-factor model and dual-factor model. In this part the author also adds unobeservable heterogeneity variable into model, which is latest development of foreign scholar study. The transaction cost is put into the refinance model and supposed to obey beta-distribution. Finally this method gets SMM through the probability.Part two includes the study of term-structure of interest rates.This paper has mainly adopted CIR two-factor model to calculate short-term interest rate and long-term earning ratio.This dissertation uses Kalman-filter to estimate parameters in CIR model.Finally this part studys the relationship betwen the housing loan rate and long-term interest rate.Part three uses Monte-carlo method with estimated parameters to simulate a path of interest rate.And then utilizes prepayment model to calculate SMM to get discouted cash-flow.Finally the author gets the average and theoritical price.更多还原