本文選題：動態(tài)規(guī)劃　切入點：住房抵押貸款證券化　出處：《大連理工大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：起源于60年代美國的資產(chǎn)證券化,是20世紀(jì)國際金融領(lǐng)域最重要的創(chuàng)新,現(xiàn)已成為金融市場最有潛力且主要發(fā)展的業(yè)務(wù)之一。資產(chǎn)證券化為商業(yè)銀行提供了一種新型高檔次的融資工具,能夠保持和增強(qiáng)其自身的借貸能力,提高銀行的資本充足率,改善資本結(jié)構(gòu),降低融資成本,控制風(fēng)險,維持銀行體系的穩(wěn)定性。同時,資產(chǎn)證券化能使銀行及其他參與機(jī)構(gòu)獲得較高收益,吸引更多的投資者參與到資本市場,實現(xiàn)多方共贏。 住房抵押貸款證券化是以住房抵押貸款為基礎(chǔ)資產(chǎn),以借款人分期償還貸款所形成的穩(wěn)定現(xiàn)金流作為支撐,具有易操作,風(fēng)險低等特點,所以在各國都被作為資產(chǎn)證券化的突破口。近些年隨著我國城市化進(jìn)程的加速,居民收入的增加,住房結(jié)構(gòu)和環(huán)境的改善,房價的上升,我國房地產(chǎn)業(yè)目前已經(jīng)進(jìn)入快速發(fā)展期,且維持時間會比較長,住房抵押貸款的需求也在急劇增加,我國實行住房抵押貸款證券化是必然趨勢。目前資產(chǎn)證券化融資方式在我國還處于小規(guī)模試點的階段,市場上尚缺乏公開的數(shù)據(jù)樣本來驗證一些研究成果。 本文主要運(yùn)用優(yōu)化方法,對住房抵押貸款資產(chǎn)池的違約率進(jìn)行估計,合理改進(jìn)住房抵押貸款支持證券的信用評級方法,動態(tài)構(gòu)造連續(xù)償本擔(dān)保抵押債券的檔級和期限結(jié)構(gòu),從而提出了一整套住房抵押貸款證券化的發(fā)行模式。首先,需要分析信用風(fēng)險,用極大似然法求貸款資產(chǎn)池的還款違約率時,利用分布式魯棒優(yōu)化思想改進(jìn)模型并結(jié)合離散技巧簡化計算過程；接著,由于貸款人有權(quán)提前償還貸款,本文考慮了關(guān)于抵押住房市場價值的看跌期權(quán),并圍繞投資者的權(quán)益建立起一個信用評級系統(tǒng),最終對住房抵押貸款支持證券進(jìn)行合理定價；最后,本文提出運(yùn)用動態(tài)規(guī)劃模型,構(gòu)造基于住房抵押貸款的連續(xù)償本擔(dān)保抵押債券,從債券發(fā)行人的角度設(shè)計發(fā)行規(guī)模和基本結(jié)構(gòu),最終實現(xiàn)凈現(xiàn)金流最大化。
[Abstract]:Originated in the 60s American asset securitization is the most important innovation in the international financial field in twentieth Century, the financial market has become one of the most potential and the main business development. Asset securitization provides a new financing tool for high-grade commercial banks, to maintain and enhance their borrowing capacity, improve the bank's capital adequacy ratio, improve the capital structure, reduce financing costs, control risk, maintain the stability of the banking system. At the same time, asset securitization can make banks and other participating institutions to obtain higher returns, attract more investors to participate in the capital market, to achieve win-win situation.
Housing mortgage loan securitization is to mortgage based assets, amortization of the borrower to form stable cash flow loans as a support, with easy operation, low risk, and so on by all the countries as a breakthrough in asset securitization. In recent years, with China's accelerated urbanization process of the city, to increase the income of residents, housing the structure and the improvement of the environment, the rise in house prices, China's real estate industry has entered a rapid development period, and maintain a relatively long time, the housing mortgage loan demand has increased dramatically, China's housing mortgage securitization is an inevitable trend. The current asset securitization financing is still in the stage of small experiment in China, the market is still a lack of public data to test some research results.
This paper mainly uses the optimization method of housing mortgage loan default rates of the asset pool estimation, credit rating method and reasonable improvement of mortgage-backed securities, level and term structure dynamic construction of continuous repayment of the collateralized mortgage bonds, thus put forward a set of housing mortgage loan securitization issuance mode. First of all, need to analyze the credit risk for the loan asset pool, using the maximum likelihood method of repayment default rate, using the distributed robust optimization idea improvement model and simplify the calculation process based on discrete skills; then, the lender shall have the right to early repayment of loans, considering the option on the mortgage market value, and establish a credit rating system on investors the end of equity, mortgage backed securities pricing; finally, this paper proposes the use of dynamic programming model, based on the structure of living The continuous repayment of the mortgage loan secured mortgage bond, from the point of view of the issuer of the bond, design the distribution scale and the basic structure, and finally achieve the maximum net cash flow.

【學(xué)位授予單位】：大連理工大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.45;F832.51

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本文編號：1648829