本文選題：抵押過手證券（MPT） + CIR模型�。� 參考：《廣東商學(xué)院》2013年碩士論文

【摘要】：自2005年建設(shè)銀行發(fā)行國內(nèi)第一只住房抵押貸款支持證券以來，我國的住房貸款證券化取得了長足的進(jìn)步。同時我國商業(yè)銀行固定利率住房抵押貸款業(yè)務(wù)也發(fā)展迅速。本文提出發(fā)行基于固定利率住房貸款的抵押過手貸款證券（Mortgage pass-throughSecurities，MPT）并研究其定價過程，從而可以促進(jìn)固定利率住房抵押貸款市場的發(fā)展和豐富我國住房抵押貸款證券的品種。 本文首先介紹了住房抵押貸款證券化運(yùn)行原理，全面地闡述了住房抵押貸款證券化的參與主體、主要品種和運(yùn)作機(jī)制。其次，本文研究了提前還款模型和利率模型。我們選擇靜態(tài)的PAS提前還款模型，來預(yù)測四種提前還款速度下的各期現(xiàn)金流。本文選用CIR動態(tài)利率模型來研究我國的利率期限結(jié)構(gòu)。選取銀行間債券市場的7天回購利率作為實(shí)證研究對象，運(yùn)用極大似然估計(jì)法和R軟件計(jì)算出模型的參數(shù)。最后，，本文對抵押過手證券（MPT）進(jìn)行了仿真研究。我們利用MATLAB和R軟件進(jìn)行編程，并結(jié)合Monte-Carlo模擬求得各期現(xiàn)金流和即期利率路徑，從而求出了不同提前償還速度、不同期權(quán)調(diào)整利差（OAS）下MPT的理論價格。 本文的研究結(jié)果表明：（1）在住房貸款證券化的初期，適宜采用PAS靜態(tài)提前還款模型來預(yù)測現(xiàn)金流。（2）我國的貨幣市場利率的長期的平均水平2.54%，利率向長期平均水平收斂的速度16%，表明我國利率具有明顯的均值回歸的特征。（3）提前還款速度越快， OAS越大，所得到的MPT的理論價格越小。本文的整個定價過程能夠?yàn)槿蘸蟀l(fā)行基于固定利率的抵押過手證券（MPT）提供很好的定價參考和借鑒。
[Abstract]:Since China Construction Bank issued the first mortgage-backed securities in China in 2005, the securitization of housing loans in China has made great progress. At the same time, China's commercial banks fixed-rate housing mortgage business has also developed rapidly. In this paper, we propose to issue Mortgage pass-through securities (MPT) based on fixed-rate housing loans and study its pricing process, which can promote the development of fixed-rate housing mortgage market and enrich the variety of housing mortgage securities in China. This paper first introduces the operation principle of housing mortgage securitization, and expounds the main body, main varieties and operation mechanism of housing mortgage securitization. Secondly, this paper studies prepayment model and interest rate model. We choose the static PAS prepayment model to predict the cash flow of each period under four prepayment rates. In this paper, CIR dynamic interest rate model is used to study the term structure of interest rate in China. The 7-day repo rate in the interbank bond market is selected as the empirical research object, and the parameters of the model are calculated by using the maximum likelihood estimation method and R software. Finally, this paper carries on the simulation research to the mortgage-over-hand securities (MPT). We use MATLAB and R software to program and combine with Monte-Carlo simulation to get the cash flow and spot interest rate path of each period. Thus we obtain the theoretical price of MPT under different prepayment speed and different option adjusted interest rate. The results of this paper show that: 1) in the early stage of housing loan securitization, It is suitable to use PAS static prepayment model to predict cash flow.) the long-term average level of money market interest rate in China is 2.54 and the rate of interest rate converging to the long-term average level is 16 percent, which indicates that the interest rate in China has the characteristic of obvious mean regression. The faster the prepayment rate, the larger the OAS. The theoretical price of the resulting MPT is smaller. The whole pricing process of this paper can provide a good pricing reference and reference for the future issue of mortgage-backed securities based on fixed interest rate (MPT).
【學(xué)位授予單位】：廣東商學(xué)院
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

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