资源描述：
《信贷资产证券化提前偿付风险定价分析》由会员上传分享，免费在线阅读，更多相关内容在工程资料-天天文库。
1、witnesseditspromptimprovementindevelopedfinancialmarketssuchastheUnitedStates.Thesound,completesystemandproductshasbeenestablishedthere.However,Chinastartedtocarryoutcreditassetsecuritizationjustfrom2005.Nowthethirdroundpilotofcreditassetsecuritizationisundertaking,whichthet
2、otalsumplanstobe300billionyuan.Withthefinancialreformgoingdeeper,therewillbeincreasingnumberofbankstotakepartinsecuritizationingreaterscale.Securitization^contributiontocountryistoservetherealeconomy,toactivatemoneystock,andtohelptransitthecurrentstructureofeconomy.Italsopla
3、ysanpositiveroleforbanks,toraiseliquidity,toimprovethestructureofasset-liability,toscatterrisks.Weknowsecuritizationhasadvantages,howeveritalsocausescomplexityandrisks.IntheshortpilotinChina,manyproblemshasrevealed,suchasfewkindassetsinpool,limitedsum,notisolationofrisk.Cred
4、itassetsecuritization^sum,participantsandstructurearesignificant.Thecroeproblemsareanalyzingtherisksandtheissuepricing.Binarytreeisapricingmodelwhichtakeintoconsiderationtheprepaymentrisk.Thisarticleintroducesthesecuritizationvarieties,principles,participantsandprocess.Viath
5、ecurrentsituation,wefindseveralproblemsinChina，screditassetsecuritization.Meanwhileitliststheprepaymentmeasuringmodel,pricingmodels,thecaiisesofprepayment.Specificallythereanalysestheoptionfeature,whichcanusethebinarytree.Inthismethod,weworkoutthecriterionofprepayment,thedyn
6、amicpathofinterestrate,probabilityandsecuritizationprice.Atlast,weputforwardseveralsuggestionsandthelimitationsofthisarticle.Keywords:CreditassetsecuritizationprepaymentriskBinarytreeassetpoolriskisolation目录摘要IAbstractII1绪论1」研究背景及意义11.2文献综述31・3本文研究及创新62我国信贷资产证券化概况2.1信贷资产证券化相
7、关概念82.2我国商业银行信贷资产证券化现状及问题123提前偿付风险研究3.1含义173.2提前偿付风险的期权特征173.3提前偿付率的测度183.4定价模型193.5定价方法分析与比较224基于提前偿付风险的二叉树定价方法4.1方法思路概述244.2考虑信用风险254.3定价思路详解264.4数据模拟304.5评价345总结36致谢38参考文献391绪论1-1研究背景及意义资产证券化是20世纪金融市场最重要的创新之一。伴随着金融自由化的过程，70年代初期至80年代中期，美国诞生了资产证券化并得到初步发展。当时繁荣的房地产市场产生了大量长期按揭
8、贷款。为了缓解信贷机构的流动性紧张、保护美国房地产市场，美国政府进一步发展资产证券化产品⑴。80年代中期之后，各种资产支持证券品种开始层出不穷，开始在
