本文關(guān)鍵詞：我國(guó)住房抵押貸款證券化模式優(yōu)化研究　出處：《鄭州大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 住房抵押貸款證券化 多因素模型 模式優(yōu)化 特殊目的載體

【摘要】：住房抵押貸款支持證券(Residential Mortgage-Backed Security,RMBS)是最早開(kāi)發(fā)的一種資產(chǎn)支持證券(Asset-Backed Security,ABS),且其占整個(gè)資產(chǎn)支持證券市場(chǎng)的比重較大。住房抵押貸款證券化業(yè)務(wù)需要一整套的制度安排和一系列的操作流程支持,開(kāi)展住房抵押貸款證券化業(yè)務(wù)既體現(xiàn)了金融市場(chǎng)較高的發(fā)展水平,也促進(jìn)了金融市場(chǎng)的進(jìn)一步完善和發(fā)展。目前我國(guó)房地產(chǎn)市場(chǎng)活躍,個(gè)人住房貸款在新增貸款中的比重不斷增加,開(kāi)展我國(guó)住房抵押貸款證券化研究既有利于豐富金融市場(chǎng)結(jié)構(gòu),也有利于化解金融市場(chǎng)風(fēng)險(xiǎn)。我國(guó)重新啟動(dòng)住房抵押貸款證券化業(yè)務(wù)以來(lái),繼承之前嘗試階段的證券化模式,由商業(yè)銀行發(fā)起證券化業(yè)務(wù)并委托信托公司以基礎(chǔ)資產(chǎn)池為支持發(fā)行個(gè)人購(gòu)房貸款支持證券。探索我國(guó)住房抵押貸款證券化模式優(yōu)化選擇有利于規(guī)范我國(guó)RMBS市場(chǎng),促進(jìn)貨幣市場(chǎng)與資本市場(chǎng)的對(duì)接,防范金融市場(chǎng)風(fēng)險(xiǎn)并貫徹政府意圖。本文采用了現(xiàn)代金融理論,計(jì)量經(jīng)濟(jì)理論、博弈論等相關(guān)學(xué)科的知識(shí),主要運(yùn)用了比較分析和實(shí)證研究的方法。本文共分為五個(gè)章節(jié)。第一章引言首先闡述相關(guān)概念和基本背景,描繪對(duì)于資產(chǎn)證券化和住房抵押貸款證券化業(yè)務(wù)的整體圖景。著重介紹了國(guó)內(nèi)外的相關(guān)研究成果,文章思路以及創(chuàng)新不足之處。第二章分析了我國(guó)住房抵押貸款證券化模式的特征。在比較住房抵押貸款證券化一般模式的基礎(chǔ)上針對(duì)我國(guó)住房抵押貸款證券化模式中存在的問(wèn)題分環(huán)節(jié)進(jìn)行了分析。第三章將我國(guó)住房抵押貸款證券化模式按操作流程分為三個(gè)部分,即發(fā)起人向特殊目的載體出售資產(chǎn)的環(huán)節(jié)、特殊目的載體環(huán)節(jié)和特殊目的載體出售產(chǎn)品的環(huán)節(jié)。本章分階段對(duì)我國(guó)住房抵押貸款證券化模式優(yōu)化進(jìn)行了具體分析,挑選出了影響模式優(yōu)化的多個(gè)重要部分。第四章在第三章對(duì)我國(guó)住房抵押貸款證券化模式優(yōu)化分析的基礎(chǔ)上,分操作環(huán)節(jié)對(duì)具體模式優(yōu)化進(jìn)行實(shí)證分析。建立模型定量分析了影響提前還款行為的因素,通過(guò)博弈論模型比較了不同類型特殊目的載體的優(yōu)劣,從制度約束和成本角度分析了我國(guó)RMBS產(chǎn)品類型和信用增級(jí)程度的選擇。第五章歸納總結(jié)了第四章的分析結(jié)果。本章依據(jù)研究成果提出了我國(guó)住房抵押貸款證券化模式優(yōu)化的具體建議,并對(duì)具體操作流程和相關(guān)配套制度提出了針對(duì)性的建議。
[Abstract]:Residential Mortgage-Backed Security. RMBS is one of the earliest asset-backed securities, Asset-Backed Security (ABS). And it accounts for a large proportion of the whole asset-backed securities market. Mortgage securitization business needs a set of institutional arrangements and a series of operational processes to support. The development of mortgage securitization not only reflects the high level of financial market development, but also promotes the further improvement and development of the financial market. At present, the real estate market in China is active. The proportion of personal housing loans in the new loans is increasing. It is beneficial to enrich the financial market structure to carry out the research on the securitization of housing mortgage loans in China. It also helps to resolve the financial market risk. Since our country restarted the housing mortgage securitization business, we have inherited the securitization model of the previous stage. The commercial bank initiated the securitization business and entrusted the trust company to issue the personal mortgage loan supporting securities with the support of the basic asset pool. Exploring the optimization and selection of the housing mortgage securitization model in China is conducive to standardizing the RMB in China. S market. This paper adopts the knowledge of modern financial theory, econometric theory, game theory and other related disciplines, to promote the connection between the money market and the capital market, to prevent the financial market risk and to carry out the government's intention. This paper is divided into five chapters. The first chapter introduces the related concepts and basic background. Describes the overall picture of asset securitization and mortgage securitization business, focusing on the domestic and foreign related research results. The second chapter analyzes the characteristics of the housing mortgage securitization model in China. On the basis of comparing the general model of housing mortgage loan securitization, it aims at the housing mortgage loan securitization model of our country. The third chapter divides the housing mortgage securitization model into three parts according to the operation process. That is, the sponsors sell assets to special purpose carriers. This chapter analyzes the optimization of China's housing mortgage securitization model in stages. Chapter 4th is based on the analysis of the optimization of China's housing mortgage securitization model in the third chapter. Empirical analysis of the specific model optimization is carried out in the process of operation. The factors affecting prepayment behavior are quantitatively analyzed by establishing a model, and the advantages and disadvantages of different types of special purpose carriers are compared by the game theory model. This paper analyzes the choice of RMBS product types and credit enhancement degree in China from the point of view of system constraint and cost. Chapter 5th summarizes the analysis results of Chapter 4th. Based on the research results, this chapter puts forward the housing mortgage loan in China. The concrete suggestion of optimizing securitization mode. And the specific operation process and related supporting system put forward targeted recommendations.
【學(xué)位授予單位】：鄭州大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F299.23;F832.479;F832.51

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本文編號(hào)：1422988