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中国住房抵押贷款支持证券定价分析

The Analysis on the China’s Mortgage-Backed Securities Pricing

【作者】 巫妮娜

【导师】 熊剑;

【作者基本信息】 暨南大学 , 会计学, 2009, 硕士

【摘要】 住房抵押贷款支持证券作为一种金融创新产品,在国外已经得到广泛和长期的运用,一方面产生了巨大的经济效应,一方面成为此次金融危机的诱因之一。但是抵押贷款支持证券不是本次金融危机产生的根本原因,不应该被质疑其实用性。2005年,中国开始进行贷款证券化试点,建设银行首次发行MBS(Mortgage-Backed Securities);2007年,建设银行在美国次贷危机的背景下再次发行MBS,资产证券化产品在中国的发展表现出扩大之势,但中国对MBS的研究主要集中在可行性和运用模式研究方面。因此,本文以“建立适合中国MBS定价的模型”为研究目的,借以配合MBS的发行和交易。本文在理论模型评述和中国MBS特点分析的基础上,首先,总结出中国MBS定价的影响因素和风险,其中提前偿付风险是影响MBS定价的最主要风险;然后,分析提前偿付风险的影响因素,包括国家信贷政策和金融机构规定、居民收入水平、居民消费观念、人口统计因素、贷款账龄、疲乏效应、季节因素和利率因素,并认为对提前偿付预测有参考意义的因素是国民收入水平和人口统计因素;接着,文章分析评价现有模型在中国背景下对提前偿付风险和MBS定价的描述合理性,认为“经验假设预测模型”和“静态现金流定价模型”对中国定价模型的建立具有参考意义;最后,文章对PSA和静态现金流定价模型进行改进,结合建元2007-1的发行资料说明中国MBS如何定价。

【Abstract】 Mortgage-Backed Securities has been widely used in abroad as a financial innovation products.It has had a huge economic effect,on the other hand,it has become one of the incentives of the financial crisis.However,MBS is not the root causes so that it should not be questioned its practicality.China stated to carry on the loan securitization experiment site in 2005,the Construction back distributed MBS for the first time.In 2007,the Constrution back distrubted MBS once more under the American loan crisis.The property securitization product display potential of the expanded in China’s development,but the MBS research in China maily concertrates to fensible and the distribution patten.Therefore,the article take "fix the suitable MBS pricing model of China" as the research goal,in order to coordinate MBS’s distritution and transaction.With the review’s of theoretical model and the analysis of Chinese MBS characteristic,firstily,the article summarizes the infulencing factors and risks of the Chinese MBS pricing,specially,the voluntary payment risk is th most primary risk. Sencondly,the artical analysis the voluntary prement risk’s inflencing factor, including the national credit policy and the financial insititions provision;the resident income level,the resident expand idea,the population statistic factor,the loan account age,the tired effect,the season factor and the intrest rate factor,and thoughts that the national income level and population statistic factor have the reference significance to the voluntary payment forecast.Thirdly,the article thought that"the public negotiable securities association voluntary payment datum(PSA)"and"the static cash flow fixed pricing model’s establishment".Finally,the article makes the improvement to PSA and the static cash flow pricing model,and try to pricing the China’s Constrution back 2007-1 MBS.

  • 【网络出版投稿人】 暨南大学
  • 【网络出版年期】2009年 09期
  • 【分类号】F832.51;F832.4;F293.3;F224
  • 【下载频次】131
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