我国住房抵押贷款证券化模式设计评价及定价研究

【作者】 姜丽松；

【导师】 刘强；

【作者基本信息】 电子科技大学 ， 数量经济学， 2007， 硕士

【摘要】 住房抵押贷款证券化作为近40年来世界金融领域的一个重大创新,既可以将其视作一种重要的金融工程技术,又可以看作一种金融工具。作为一种技术,住房抵押贷款证券化旨在对住房抵押贷款组成的资产池和现金流进行隔离处理和整合分解,创造出不同于资产池风险特征的新证券;作为一种金融工具,住房抵押贷款证券化可以丰富投资选择,增加金融交易数量,拓展金融交易的内容,重新配置金融资源,提高风险配置效率。我国关于住房抵押贷款证券化的讨论开始于20世纪90年代。国有企业过高的负债与国有银行不良债务的矛盾构成宏观经济稳定的潜在风险,也成为我国经济与金融体制改革的一大障碍。随着住房抵押贷款证券化在美欧的快速发展,实施住房抵押贷款证券化成为我国理论界和实物界关注与深入思考的课题。了解住房抵押贷款证券化的基本原理,借鉴住房抵押贷款证券化的核心技术,具有十分重要的意义。MBS的定价问题是住房抵押贷款证券化的核心问题,定价合理与否直接决定我国MBS能否操作成功。本文的第一章介绍了论文产生的背景、研究意义、住房抵押贷款证券化基本理论以及国内外在住房抵押贷款证券定价方面的研究成果。第二章提出了在我国现行的法律制度和经济条件的基础上,适合我国的住房抵押贷款证券化模式。第三章比较分析了几种MBS定价方法的优缺点。通过引入期权理论对住房抵押贷款证券进行定价,将住房抵押贷款证券未来现金流的风险转化为两个期权的价值,并援用Black-Scholes期权定价模型进行公式推导。第四章从现金流折现的角度对住房抵押贷款证券进行定价。用随机过程来直接描述提前偿付行为,模拟实际情况下的提前偿付风险。另外,用贷款划分的方法来将部分提前偿还转变为全部提前偿还,以及控制资产提前偿还风险。得出定价公式后,又给出了一个简单算例。最后是本文的总结及未来发展的展望。更多还原

【Abstract】 Securitization of housing mortgage loans, as a great innovation in the financial industry in the recent 40 years can be viewed as not only an important financial engineering technique but a financial tool. As a kind of technique, securitization of housing mortgage loan aims at separating and integrating the assets pool and cash flow made of housing mortgage loans, and then creates new securities with risk feature different from assets pools. As a financial tool, securitization of housing mortgage loan can enrich investment choice, improve amounts of financial business, increase content of financial business, reallocate financial resources and improve efficiency of risk allocation.Discussion of securitization of housing mortgage loan in our country began in 1990. High debt of stated-owned corporation and non-performing debt of stated -owned banks became the potential risk to the stabilization of macro economy and also a big obstacle to financial and economic system reform in our country. With the fast development of securitization of housing mortgage loan overseas, carrying out securitization of housing mortgage loan has become the hot point in both academy and practice fields. Therefore, it is meaningful to know the basic principle of securitization of housing mortgage and to use the core techniques of securitization of housing mortgage for reference. Pricing of MBS is the core of securitization of housing mortgage, whether the price is reasonable is directly related to the success of MBS in our country.The first chapter introduces the background of this paper, the research meaning, the basic theories and research results in securitization of housing mortgage home and abroad. The second chapter, on the basis of current law system of our country and economic environment, puts forward the mode of securitization of housing mortgage suitable for our country. The third chapter analyzes and compares the strong points and shortcomings of several MBS pricing methods. It introduces option theory to price the housing mortgage securities and converts the risk of housing mortgage securities’future cash flow to two options value and uses Black-Scholes option pricing model to deduce the formula. The fourth chapter, from the view of cash flow discount, prices the housing mortgage security. It uses random process to depict the prepayment action directly and emulate the prepayment risk in reality. In addition, it uses loan classification method to convert the partial prepayment to entire prepayment and to control the prepayment risk. After getting the pricing formula, it also gives a simple case. At last, it concludes the whole paper and puts forward the expectation of future researches.更多还原