住房抵押贷款支持证券的利率风险度量——基于“建元2005-1MBS”A证券的实证

发布时间：2018-01-07 19:20

本文关键词：住房抵押贷款支持证券的利率风险度量——基于“建元2005-1MBS”A证券的实证　出处：《当代经济科学》2010年02期 　论文类型：期刊论文

【摘要】：住房抵押贷款支持证券中隐含期权的存在导致未来现金流不确定,久期和凸度等利率风险管理工具不再适用。本文基于OAS理念建立了住房抵押贷款支持证券的利率风险度量过程:采用多项式样条函数法构建零息票收益率曲线,采用Vasicek模型描述动态利率期限结构,通过蒙特卡罗方法模拟利率路径并确定未来现金流,采用ARMA模型描述和预测提前偿付率,进而计算出OAS、有效久期和有效凸度的值。最后以"建元2005-1MBS"A证券为对象进行了实证研究。
[Abstract]:The existence of implicit options in mortgage-backed securities leads to uncertainty of future cash flow. Interest rate risk management tools such as duration and convexity are no longer applicable. This paper establishes the interest rate risk measurement process of mortgage-backed securities based on OAS. The polynomial spline function method is used to construct the zero coupon yield curve. Vasicek model is used to describe the dynamic interest rate term structure, Monte Carlo method is used to simulate the interest rate path and determine the future cash flow, and the ARMA model is used to describe and predict the prepayment rate. Then the OAS-effective duration and effective convexity are calculated. Finally, the empirical study is carried out on the "Jianyuan 2005-1 MBS" A securities.
【作者单位】：澳门科技大学行政与管理学院;
【分类号】：F224;F832.4;F293.3
【正文快照】： 一、引言与文献回顾美国的次贷危机由于通过住房抵押贷款证券化产品进行传播,很容易使人对住房抵押贷款证券化方式产生怀疑,这种怀疑也为我国不断推进的资产证券化进程蒙上了阴影。沈炳熙[1]较早撰文指出次贷危机不是证券化的产物,同时建议我国在吸取次贷危机教训的同时,对证

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