住房抵押贷款证券化模式选择与MBS定价研究

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1、湖南大学博士学位论文住房抵押贷款证券化模式选择与MBS定价研究姓名：谈文胜申请学位级别：博士专业：管理科学与工程指导教师：谢赤20070921提前清偿行为是现有市场条件的现实选择：本文构建的定价模型不仅能够解决过手证券的定价问题，固定利率和浮动利率型的转付证券也能够很便捷的加以定价：住房抵押贷款证券化是一类典型的路径依赖型证券，本文提出了一种新的扩展后的向前归纳法来解决路径依赖型证券的定价问题；在对住房抵押贷款证券化定价模型进行敏感性分析的基础上，研究发现提前清偿模型的参数设置对住房抵押贷款证券化的定价结果有重要影响，其中尤以资

2、产池的最低平均提前清偿率最为重要。对期限结构模型而言，模型的输入参数对转付证券中处于较高层次证券的价格影响较小，但对处于较低层次的证券有一定影响。本文无论在理论上还是在实证分析中，都作出了一定创新。同时，本文的研究结果对投资者和金融监管当局都具有一定的实际指导作用。关键词：住房抵押贷款证券化；住房抵押贷款支持证券；利率期限结构模型；提前清偿预测模型IllAbstractMortgagesecuritizationisthemostimportantfinancialinnovationduringthepastthirtyyea

3、rs；theresearchonthistopicisalwaysabasicresearchinfinancefieldi辑蕾函theintroductionofthemortgagesecuritizationofChinain2005，itisveryurgentandsignificanttospeeduptheresearchoilthemortgagesecuritization．Inthisdissertation，firstlytheauthorstudiesthebasicprinciplesofthemort

4、gagesecuritization，analysestheconnotationoftheassetseeuritizationandtheconnectionsbetweentheassetsectwitizationandmortgagesecuritization，themaincategoriesofthemortgagesandtheoperationofthemortgagesecuritizationandthemeritsandflawsofit．Then，theauthoranalysesthemaincat

5、egoriesandthecashflowsofthemortgagebackedsecurity(MBS)．Twomainfactors，i．e．thetermstructureofinterestratemodelandtheprepaymentmodel，whichinfluencethepricingmodelsoftheMBSarealsoresearched．Thirdly,theauthormakessomeanalysisandcomparisonsamongtheoperationpatternsofU．S，C

6、anada，HongKong，England，Germany,andAustralia．Thesepatternsarecategorizedintotheoutofbalancesheetpatternwithgovemmentaldominance，theoutofbalancesheetpatternwithcommercialdominance，theinbalancesheetpattern．Onthebasisoftheanalysis，theauthorfindsthatthechoiceoftheoperatio

7、npaaemofthemortgagesecuritizationismainlydecidedbytheultimateobjectiveandexternalenvironments．Fourthly,theauthorstudiesthepatternchoiceandthestructuredesignofthemortgagesecuritizationofChina．Fromtheperspectivesofthemicroeconomicenvironment，themarketconditionsofthemor

8、tgageandtheinstitutionalenvironmentofthelaw,Chinahaspossessedthebasicconditionsofmortgagesecuritization．Aftertheanalysisofthemerits