【作者】 苏飞；

【导师】 唐万生；

【作者基本信息】 天津大学 ， 管理科学与工程， 2004， 硕士

【摘要】 住房抵押贷款证券化(MBS)是近二十年来最重要的国际金融创新之一,已经成为美国和其他发达国家住房金融市场的主要融资工具。住房抵押贷款证券化将缺乏流动性,但能够产生稳定收益的房地产投资直接转化为在金融市场广泛流动的证券投资。不仅有利于盘活金融资产、改善资产质量、提高资金的利用率和银行的抗风险能力,而且提供了新的投资品种、扩大了住房信贷资金的来源、盘活了开发商积压的住宅商品。但是由于借款人提前偿付行为的存在,由此而来的提前偿付风险会导致现金流量不稳定,给住房抵押贷款证券化的评价过程带来极大的困难与复杂性,所以探讨提前偿付行为,预测提前偿付率,构造提前偿付行为的预测模型是研究住房抵押贷款证券化的焦点。本文正是基于这一研究背景,做了如下主要工作:首先,介绍了住房抵押贷款证券化的概念和特征,阐述了住房抵押贷款证券化的参与主体、操作流程、运作机理以及住房抵押贷款证券的各种类型,对证券化原理进行了详细论述。另外,分析了住房抵押贷款证券化过程中可能面临的各种风险,对经营环节的风险进行了重点阐述。其次,本文分析了住房抵押贷款证券化过程中提前还款的违约性,重点研究了提前还款的一般作用机理与风险识别。将影响基础抵押贷款池中借款人提前偿付行为的因素分成五类,并对关键的利率因素做了详细探讨,阐述了几种有代表性的利率模型与利率路径模拟技术。最后,介绍了常用的提前偿付惯例标准和提前偿付模型,并将生物统计学中有关生存理论的危险率函数应用到住房抵押贷款证券化提前偿付行为的分析中,提出了比例危险率提前偿付模型(PHM),并对该模型进行了敏感性分析。更多还原

【Abstract】 Mortgage backed securitization (MBS), one of the most important internationalfinancial innovations in the past 20 years, has already become main financing tool inhouse financial markets of U.S. and other developed countries. MBS can directly turnthe real estate investments that lack liquidity but can produce steady income intosecurities investments that can circulate extensively in the financial market. Not onlycan MBS vitalize financial assets, improve the quality of assets, raise the utilizationratio of capital and banks’ resistibilities against risk, but also can offer new varieties ofinvestment, expand the source of mortgage, vitalize developers’ overstocked goods.Prepayment risk origins from debtors’ prepayment behavior can make cash flowunstable, bring great difficulty and complexity to the appraisal of MBS. Therefore it isthe focus of studying MBS to probe into the prepayment behavior, predict theprepayment rate and construct the prediction model of prepayment behavior. Based onthis research background, this paper has carried out the following works:Firstly, this paper has introduced the concept and characteristic of MBS,explained the participation subject, the operational procedure and mechanism of MBS.It has explained all kinds of of mortgage backed securities and described thesecuritisation principle in detail. In addition, it has analysed various kinds of risks inMBS and especially explained the operational risk.Secondly, this paper has analysed the rule-violation of prepayment in MBS,investigated general operational mechanism and risk recognition of prepayment. Wehave divided the factors influence the debtors’ prepayment behavior in the basicmortgage pool into five categories, discussed the key interest rate factorcomprehensively and explained several kinds of typical interest rate models andinterest rate route simulation technology.Finally, this paper has introduced some common standards and models forprepayment, applied hazard function about survival theory in biostatistics to analysethe prepayment behavior in MBS, put forward the proportional hazard model (PHM)and made sensitiveness analysis to this model.更多还原