【作者】 李江涛；

【导师】 詹原瑞；

【作者基本信息】 天津大学 ， 金融学， 2007， 硕士

【摘要】 出现于上世纪70年代的资产证券化是近几十年来金融领域最重要的创新之一,由于其具有创新的融资结构和交易流程,满足了不同融资者和投资者的需求,已经成为当今世界金融市场上发展最快、最受欢迎的金融产品之一。而在众多证券化产品中个人住房抵押贷款证券MBS是目前证券化产品中发展最快、未偿还余额最大的品种。住房抵押贷款证券化表面上是将缺乏流动性的个人住房抵押贷款转化为流动性较强的证券化产品,而其本质则是对原始贷款产生稳定、可预见现金流能力的证券化。本文首先介绍了资产证券化的定义、历史发展概况、三大基本原理(即“资产重组原理”、“风险隔离原理”、“信用提升原理”)、流程以及主要参与机构等。由于原始借款人的提前偿还行为对证券化资产池的现金流以及证券化产品的定价等方面有着至关重要的影响,随后介绍了国外成熟市场上住房抵押贷款证券化产品提前偿还的定义、影响因素以及常用量度方法等内容;并对影响我国住房抵押贷款提前偿还的因素进行了定性分析,对提出我国住房抵押贷款提前偿还函数进行尝试性分析。随后,本文介绍了住房抵押贷款证券常用的定价方法,并在我国国债回购利率等数据的基础上,用期权调整利差的蒙特卡罗模拟法对国内第一单MBS产品建元2005-1A进行了定价研究。最后对得出的结果进行了实证分析。本文的特色为根据我国的特殊抵押贷款制度和居民消费习惯,分析了影响我国住房抵押贷款提前偿还的因素,并尝试提出了我国的提前偿还模型。所面对的困难与障碍一方面在于我国住房抵押贷款起步较晚,同时提前偿还数据不完整,很难对提前偿还模型进行定量分析;另一方面是我国债券市场发展不完善,特别是短期债券品种稀缺,从而导致市场利率失真,不能够较好的反映市场资金供求关系,影响证券化产品定价的准确性。更多还原

【Abstract】 Asset securitization emerged in the 1970s is the most important innovation of financial products. Because of its innovative structure and transaction processes meet the needs of different investors, securitization has become the world’s fastest-growing and the most popular financial products. Among all of the securitization products, Mortgage-Backed Securities (MBS) has the biggest outstanding balance and the important status. Asset securitization seems as the securitization of mortgage lacked of liquidity, acturaly, it is the securitization of the ability of asset to bring the stable and predictable cash flow.First of all, the paper discusses the definition of asset securitization, the three major basic principles, namely asset rerangement principle, risk isolation principle and the credit enhancement principle, the process and the major particpants of securitization. Because of the mortgagor’s prepayment decision is intergral to the cash flow and the valuation of securities, we introduce the definition, and the factors influenced the prepayment decision of mortgagors and prepayment function. And then, we try to estimate a model of prepayment on the Chinese mortgage market. Following the introduce of kinds of valuation models of Mortgage-Backed Securities, we derive a valuation model of Chinese MBS, and apply it to the asset pool of the first pieces of MBS on the base of 7-day repurchasing rate of bonds on inter-bank bond market.The characteristic of this paper is that we discuss the factors influenced the prepayment decision of mortgagors and try to provide a prepayment model based on the special structure and consumtion habits of china. The difficulties we faced are following: firstly, there is not enough prepayment data, it’s difficult to apply a quantitative analysis on the prepayment model; secondly, the lack of short-term interest rates influences the accuracy of valuation.更多还原