【作者】 蔡蓉；

【导师】 蒋岳祥；

【作者基本信息】 浙江大学 ， 金融学， 2008， 硕士

【摘要】 住房抵押贷款证券化在20世纪70年代初兴起于美国,它是由商业银行等贷款机构将流动性较差的住房抵押贷款出售给特殊目的机构,再由其对抵押贷款进行结构性重组,以其未来可预见的现金流为担保,在资本市场上将住房抵押贷款以证券的形式出售给外部投资者的结构性融资行为。住房抵押贷款证券化在我国处于刚刚起步阶段,目前有两只MBS产品在银行间债券市场发行交易。“建元2005—1个人住房抵押贷款证券化信托产品”作为国内第一支MBS产品,已经交易至25期。住房抵押贷款发行和交易成功的关键在于定价。MBS最大的特点就是允许贷款人提前偿付部分或者全部贷款余额,因此使得MBS的未来现金流具有很大的不确定性,也因此需要建立更为精准的模型用以估计提前偿付率及其对MBS贷款池未来现金流的影响。本文通过定性与定量相结合的方法研究我国住房抵押贷款支持证券产品的定价模型,在参考国外对于提前偿付影响因素的分析的基础上,选择Logistic模型,对我国某国有商业银行住房抵押贷款样本数据进行分析,得出了影响我国提前偿付行为的重要因素。并在此基础上对“建元2005—1个人住房抵押贷款证券化信托产品”进行了定价的模拟,进一步确认了影响提前偿付率及住房抵押贷款证券化产品的重要因素。国外住房抵押贷款及证券化业务实践给了我国许多成功的经验,但是同时我们更应当注意总结国外失败的教训,比如2007年初爆发的美国次级抵押贷款危机。通过总结美国次贷危机的成因及蔓延机制,本文针对我国住房抵押贷款证券化产品定价提出了两点启示,即:除了分析住房抵押贷款提前偿付行为以及利率变动模型外,对违约风险的防范和控制,以及对评级等中介机构的监管也是我国住房抵押贷款证券化定价的重要前提和其成功发行和交易的依据。更多还原

【Abstract】 Mortgage backed securitization dates back to 1970s in the US. It is the process in which securities are issued by the back of the continuous future cash flow from a pool of mortgage loans. It is a very matured structure financing approach and is widely applied on the global capital market.Mortgage backed securitization is in its enfant period in China. So far there have been two MBS products issued and traded on the bond inter bank market. Of the two products, Jianyuan 2005-1 is the first MBS product and has been lasted for 25 terms so far.Pricing approach and result is of critical importance to the success of the issuance and trade of MBS. The characteristic that debtor can prepay the principal and interest leads to the instability of the future cash flow of the loan pool, thereafter makes the pricing even more difficult.The article applies both qualitative and quantitative methods to analyze the mortgage backed securitization in China, with the purpose of developing the appropriate prepayment and pricing models. Apart from the theoretical research, the article applies the logistic model in the empirical research for prepayment model. Based on the model concluded from the above analysis, the article prices Juanyuan 2005-1 mortgage backed security product.While we are taking the success model from the foreign countries, we should in the meantime learn from the failure as well. The Sub-prime mortgage crisis is the very instance that China can refer to. Based on the investigation into the cause and the mechanism of the crisis, the paper gives several suggestions in regards of the pricing of mortgage backed securitization.更多还原