本文選題：商業(yè)銀行　切入點(diǎn)：住房抵押貸款　出處：《西北農(nóng)林科技大學(xué)》2006年碩士論文

【摘要】： 住房抵押貸款證券化以其精巧獨(dú)特的功能成為金融創(chuàng)新中的重要工具,是世界上發(fā)展最快、最具活力的金融創(chuàng)新產(chǎn)品。資產(chǎn)證券化作為一種融資工具的創(chuàng)新,具有完善金融市場、拓寬融資渠道、緩解資金供需矛盾、提高資產(chǎn)利用效率和資本收益率、控制金融風(fēng)險(xiǎn)等巨大作用,在世界各國得到了廣泛的實(shí)施和應(yīng)用。同時(shí),也引起了中國國內(nèi)學(xué)者廣泛而熱切的關(guān)注,希望借助這一金融工具解決中國經(jīng)濟(jì)現(xiàn)實(shí)運(yùn)行中的一些矛盾和問題。 本文借鑒國外住房抵押貸款證券化的成熟經(jīng)驗(yàn),綜合運(yùn)用類比、比較,規(guī)范和實(shí)證分析方法,研究中國商業(yè)銀行住房抵押貸款證券化的理論模式和證券定價(jià)模型,為住房抵押貸款證券化的順利開展提供理論依據(jù)。全文共分七章。 第一章論述本文研究的背景、目的、意義以及國內(nèi)外研究進(jìn)展情況,并闡述了全文的研究思路、方法和論文可能創(chuàng)新之處。 第二章闡述住房抵押貸款證券化的概念、基本原理、特點(diǎn)、運(yùn)作程序以及運(yùn)作機(jī)理,為后續(xù)章節(jié)的撰寫奠定理論基礎(chǔ)。 第三章分析中國住房抵押貸款證券化的實(shí)施環(huán)境,分析表明中國開展住房抵押貸款證券化的條件已初步具備。第四章論述中國住房抵押貸款證券化的理論模式。文章就開展證券化應(yīng)遵循 的原則、特殊目的公司SPV的設(shè)立模式、住房抵押貸款證券品種設(shè)計(jì)、信用增級(jí)方式以及資信評(píng)估機(jī)構(gòu)建設(shè)等方面做了具體的探討與設(shè)計(jì)。 第五章論述住房抵押貸款證券化過程中存在的風(fēng)險(xiǎn)。本章主要討論的是,之中最為重要的三大風(fēng)險(xiǎn),即提前償付風(fēng)險(xiǎn),信用風(fēng)險(xiǎn),利率風(fēng)險(xiǎn)以及它們的形成原因、基本種類、度量方法和規(guī)避手段等。 第六章運(yùn)用灰色系統(tǒng)理論中的灰色關(guān)聯(lián)度分析方法,篩選出影響提前償付率的三個(gè)關(guān)鍵因子:抵押貸款市場利率、資產(chǎn)池前期提前償付比例、季節(jié)性因素,確定出各因子與提前償付之間的函數(shù)關(guān)系,并借鑒Schwartz和Torous(1989)提出的提前償付模型函數(shù),構(gòu)建出住房抵押貸款提前償付率測度的灰色經(jīng)濟(jì)計(jì)量模型,然后用極大似然估計(jì)方法,得出模型中未知參數(shù)的估計(jì)值;最后以提前償付率測度模型為基礎(chǔ),運(yùn)用現(xiàn)金流折現(xiàn)法構(gòu)建出了資產(chǎn)支持證券的定價(jià)模型。第七章分析住房抵押貸款證券化在我國實(shí)施存在的制度障礙,如抵押貸款一級(jí)市場發(fā)展不成熟,個(gè)人信用制度不完善,資信評(píng)估機(jī)構(gòu)發(fā)展滯后、法律制度不
[Abstract]:Mortgage-backed securitization has become an important tool in financial innovation with its exquisite and unique functions. It is the fastest growing and most dynamic financial innovation product in the world.As a kind of financing tool, asset securitization can improve the financial market, widen the financing channel, alleviate the contradiction between supply and demand of capital, improve the efficiency of asset utilization and capital return, control financial risk and so on.In the world has been widely implemented and applied.At the same time, it has aroused the domestic scholars' extensive and eager attention, hoping to use this financial instrument to solve some contradictions and problems in the actual operation of China's economy.Based on the mature experience of Mortgage Securitization abroad, this paper studies the theoretical model and pricing model of Mortgage-backed Securitization in China's commercial banks by means of analogy, comparison, standardization and empirical analysis.To provide theoretical basis for the smooth development of mortgage securitization.The full text is divided into seven chapters.The first chapter discusses the background, purpose, significance and research progress of this paper, and describes the research ideas, methods and possible innovations of the paper.The second chapter expounds the concept, basic principle, characteristics, operation procedure and operation mechanism of mortgage securitization, which lays a theoretical foundation for the following chapters.The third chapter analyzes the implementation environment of China's mortgage securitization, and shows that the conditions for the development of housing mortgage securitization in China have been preliminarily available.The fourth chapter discusses the theoretical model of China's mortgage securitization.The article should follow the principle of securitizationThe principles, the establishment model of SPV, the variety design of mortgage securities, the way of credit enhancement and the construction of credit evaluation institution are discussed and designed in detail.The fifth chapter discusses the risk in the process of housing mortgage securitization.This chapter mainly discusses the three most important risks, namely, the risk of early repayment, the risk of credit, the risk of interest rate, the reasons for their formation, the basic types, the methods of measurement and the means of circumvention, etc.The sixth chapter uses the grey relational degree analysis method in the grey system theory to screen out three key factors that affect the early repayment rate: mortgage market interest rate, asset pool prepayment ratio, seasonal factors, and so on.The function relationship between each factor and the advance payment is determined, and the grey econometric model of the measure of the advance repayment rate of the housing mortgage is constructed by using the model function proposed by Schwartz and Torousn 1989, and then the maximum likelihood estimation method is used.The estimated value of unknown parameters in the model is obtained, and the pricing model of asset-backed securities is constructed by using the discounted cash flow method based on the early repayment rate measurement model.Chapter seven analyzes the institutional obstacles to the implementation of mortgage securitization in China, such as the immaturity of the primary mortgage market, the imperfection of personal credit system, the lagging development of credit rating institutions, and the lack of legal system.
【學(xué)位授予單位】：西北農(nóng)林科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2006
【分類號(hào)】：F832.5

【引證文獻(xiàn)】

相關(guān)碩士學(xué)位論文 前1條

1 吳彩梅;我國個(gè)人住房抵押貸款證券化實(shí)踐及研究[D];華中師范大學(xué);2008年

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本文編號(hào)：1726946