住房抵押贷款证券化发行模式探究

发布时间：2018-03-22 13:22

本文选题：动态规划　切入点：住房抵押贷款证券化　出处：《大连理工大学》2013年硕士论文　论文类型：学位论文

【摘要】：起源于60年代美国的资产证券化,是20世纪国际金融领域最重要的创新,现已成为金融市场最有潜力且主要发展的业务之一。资产证券化为商业银行提供了一种新型高档次的融资工具,能够保持和增强其自身的借贷能力,提高银行的资本充足率,改善资本结构,降低融资成本,控制风险,维持银行体系的稳定性。同时,资产证券化能使银行及其他参与机构获得较高收益,吸引更多的投资者参与到资本市场,实现多方共赢。住房抵押贷款证券化是以住房抵押贷款为基础资产,以借款人分期偿还贷款所形成的稳定现金流作为支撑,具有易操作,风险低等特点,所以在各国都被作为资产证券化的突破口。近些年随着我国城市化进程的加速,居民收入的增加,住房结构和环境的改善,房价的上升,我国房地产业目前已经进入快速发展期,且维持时间会比较长,住房抵押贷款的需求也在急剧增加,我国实行住房抵押贷款证券化是必然趋势。目前资产证券化融资方式在我国还处于小规模试点的阶段,市场上尚缺乏公开的数据样本来验证一些研究成果。本文主要运用优化方法,对住房抵押贷款资产池的违约率进行估计,合理改进住房抵押贷款支持证券的信用评级方法,动态构造连续偿本担保抵押债券的档级和期限结构,从而提出了一整套住房抵押贷款证券化的发行模式。首先,需要分析信用风险,用极大似然法求贷款资产池的还款违约率时,利用分布式鲁棒优化思想改进模型并结合离散技巧简化计算过程；接着,由于贷款人有权提前偿还贷款,本文考虑了关于抵押住房市场价值的看跌期权,并围绕投资者的权益建立起一个信用评级系统,最终对住房抵押贷款支持证券进行合理定价；最后,本文提出运用动态规划模型,构造基于住房抵押贷款的连续偿本担保抵押债券,从债券发行人的角度设计发行规模和基本结构,最终实现净现金流最大化。
[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.

【学位授予单位】：大连理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.45;F832.51

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