本文關(guān)鍵詞：中國(guó)抵押支持證券價(jià)格的影響因素研究　出處：《廣東財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 抵押支持證券 期權(quán)調(diào)整利差 提前償付率

【摘要】：抵押支持證券自問(wèn)世以來(lái)在發(fā)達(dá)國(guó)家得到了充足的發(fā)展。到2007年底，美國(guó)抵押支持證券的存量和流動(dòng)性都僅次于美國(guó)國(guó)債。中國(guó)的信貸資產(chǎn)證券化自2012年重啟以來(lái)一直是金融改革的重要環(huán)節(jié)，國(guó)家在擴(kuò)大試點(diǎn)的同時(shí)逐步推進(jìn)信貸資產(chǎn)證券化的常規(guī)化發(fā)展。抵押支持證券在增強(qiáng)資產(chǎn)流動(dòng)性、降低融資成本、減少風(fēng)險(xiǎn)資產(chǎn)和資產(chǎn)負(fù)債管理等方面顯示出其他金融資產(chǎn)所不具有的優(yōu)勢(shì)。 由于存在提前償付行為，所以抵押支持證券的現(xiàn)金流結(jié)構(gòu)比較復(fù)雜，給抵押支持證券的定價(jià)帶來(lái)了困難。利率期限結(jié)構(gòu)、同期國(guó)債的風(fēng)險(xiǎn)溢價(jià)、資產(chǎn)池中抵押貸款的違約率和提前償付等因素均能影響抵押支持證券的價(jià)格。本文在綜合分析各定價(jià)模型的基礎(chǔ)上，選取期權(quán)調(diào)整利差定價(jià)法作為研究的理論基礎(chǔ)。 抵押支持證券的價(jià)格因計(jì)劃本金償付和提前償付的存在而逐漸下降，，直接分析各因素對(duì)其價(jià)格的影響不太現(xiàn)實(shí)，所以本文選取期權(quán)調(diào)整利差作為抵押支持證券價(jià)格的代理變量。并采用CIR模型描述動(dòng)態(tài)利率期限結(jié)構(gòu)，采用蒙特卡羅方法模擬利率路徑，采用ARMA模型描述和預(yù)測(cè)提前償付率。在此基礎(chǔ)上，計(jì)算得出抵押支持證券的預(yù)期現(xiàn)金流，進(jìn)而計(jì)算出期權(quán)調(diào)整利差。通過(guò)結(jié)構(gòu)向量自回歸模型分析同期國(guó)債風(fēng)險(xiǎn)溢價(jià)、資產(chǎn)池抵押貸款的違約率和提前償付率對(duì)期權(quán)調(diào)整利差的影響，進(jìn)一步得出這些因素對(duì)抵押支持證券價(jià)格的影響。最后本文在分析實(shí)證結(jié)果的基礎(chǔ)上，探討在我國(guó)發(fā)展抵押支持證券的可行性并提出相應(yīng)的政策建議。
[Abstract]:Mortgage-backed securities have been well developed in developed countries since their inception. By end of 2007. The stock and liquidity of mortgage-backed securities in the United States are second only to Treasury bonds. China's securitization of credit assets has been an important part of financial reform since its resumption in 2012. At the same time, the state has expanded the pilot program and gradually promoted the regular development of credit asset securitization. Mortgage-backed securities are enhancing asset liquidity and reducing financing costs. Risk-reducing assets and asset-liability management and other aspects of the show other financial assets do not have an advantage. Because of the prepayment behavior, the cash flow structure of mortgage-backed securities is complex, which brings difficulties to the pricing of mortgage-backed securities. The default rate and prepayment of mortgage in the asset pool can affect the price of mortgage-backed securities. The option adjusted interest rate pricing method is selected as the theoretical basis of the study. The price of mortgage-backed securities decreases gradually because of the existence of planned principal repayment and early repayment. It is not realistic to directly analyze the influence of various factors on the price of mortgage-backed securities. So this paper selects the option adjustment spread as the proxy variable of the mortgage-backed securities price and uses CIR model to describe the dynamic interest rate term structure and Monte Carlo method to simulate the interest rate path. Based on the ARMA model, the expected cash flow of mortgage-backed securities is calculated. Based on the structural vector autoregressive model, the paper analyzes the influence of the risk premium of treasury bonds, the default rate of asset pool mortgage and the rate of prepayment on the adjusted interest rate of option through structural vector autoregressive model. Finally, based on the analysis of empirical results, this paper discusses the feasibility of developing mortgage-backed securities in China and puts forward corresponding policy recommendations.
【學(xué)位授予單位】：廣東財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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