我国商业银行住房抵押贷款证券化研究

发布时间：2018-04-09 15:04

本文选题：商业银行　切入点：住房抵押贷款　出处：《西北农林科技大学》2006年硕士论文

【摘要】： 住房抵押贷款证券化以其精巧独特的功能成为金融创新中的重要工具,是世界上发展最快、最具活力的金融创新产品。资产证券化作为一种融资工具的创新,具有完善金融市场、拓宽融资渠道、缓解资金供需矛盾、提高资产利用效率和资本收益率、控制金融风险等巨大作用,在世界各国得到了广泛的实施和应用。同时,也引起了中国国内学者广泛而热切的关注,希望借助这一金融工具解决中国经济现实运行中的一些矛盾和问题。本文借鉴国外住房抵押贷款证券化的成熟经验,综合运用类比、比较,规范和实证分析方法,研究中国商业银行住房抵押贷款证券化的理论模式和证券定价模型,为住房抵押贷款证券化的顺利开展提供理论依据。全文共分七章。第一章论述本文研究的背景、目的、意义以及国内外研究进展情况,并阐述了全文的研究思路、方法和论文可能创新之处。第二章阐述住房抵押贷款证券化的概念、基本原理、特点、运作程序以及运作机理,为后续章节的撰写奠定理论基础。第三章分析中国住房抵押贷款证券化的实施环境,分析表明中国开展住房抵押贷款证券化的条件已初步具备。第四章论述中国住房抵押贷款证券化的理论模式。文章就开展证券化应遵循的原则、特殊目的公司SPV的设立模式、住房抵押贷款证券品种设计、信用增级方式以及资信评估机构建设等方面做了具体的探讨与设计。第五章论述住房抵押贷款证券化过程中存在的风险。本章主要讨论的是,之中最为重要的三大风险,即提前偿付风险,信用风险,利率风险以及它们的形成原因、基本种类、度量方法和规避手段等。第六章运用灰色系统理论中的灰色关联度分析方法,筛选出影响提前偿付率的三个关键因子:抵押贷款市场利率、资产池前期提前偿付比例、季节性因素,确定出各因子与提前偿付之间的函数关系,并借鉴Schwartz和Torous(1989)提出的提前偿付模型函数,构建出住房抵押贷款提前偿付率测度的灰色经济计量模型,然后用极大似然估计方法,得出模型中未知参数的估计值;最后以提前偿付率测度模型为基础,运用现金流折现法构建出了资产支持证券的定价模型。第七章分析住房抵押贷款证券化在我国实施存在的制度障碍,如抵押贷款一级市场发展不成熟,个人信用制度不完善,资信评估机构发展滞后、法律制度不
[Abstract]:Mortgage-backed securitization has become an important tool in financial innovation with its exquisite and unique functions. It is the fastest growing and most dynamic financial innovation product in the world.As a kind of financing tool, asset securitization can improve the financial market, widen the financing channel, alleviate the contradiction between supply and demand of capital, improve the efficiency of asset utilization and capital return, control financial risk and so on.In the world has been widely implemented and applied.At the same time, it has aroused the domestic scholars' extensive and eager attention, hoping to use this financial instrument to solve some contradictions and problems in the actual operation of China's economy.Based on the mature experience of Mortgage Securitization abroad, this paper studies the theoretical model and pricing model of Mortgage-backed Securitization in China's commercial banks by means of analogy, comparison, standardization and empirical analysis.To provide theoretical basis for the smooth development of mortgage securitization.The full text is divided into seven chapters.The first chapter discusses the background, purpose, significance and research progress of this paper, and describes the research ideas, methods and possible innovations of the paper.The second chapter expounds the concept, basic principle, characteristics, operation procedure and operation mechanism of mortgage securitization, which lays a theoretical foundation for the following chapters.The third chapter analyzes the implementation environment of China's mortgage securitization, and shows that the conditions for the development of housing mortgage securitization in China have been preliminarily available.The fourth chapter discusses the theoretical model of China's mortgage securitization.The article should follow the principle of securitizationThe principles, the establishment model of SPV, the variety design of mortgage securities, the way of credit enhancement and the construction of credit evaluation institution are discussed and designed in detail.The fifth chapter discusses the risk in the process of housing mortgage securitization.This chapter mainly discusses the three most important risks, namely, the risk of early repayment, the risk of credit, the risk of interest rate, the reasons for their formation, the basic types, the methods of measurement and the means of circumvention, etc.The sixth chapter uses the grey relational degree analysis method in the grey system theory to screen out three key factors that affect the early repayment rate: mortgage market interest rate, asset pool prepayment ratio, seasonal factors, and so on.The function relationship between each factor and the advance payment is determined, and the grey econometric model of the measure of the advance repayment rate of the housing mortgage is constructed by using the model function proposed by Schwartz and Torousn 1989, and then the maximum likelihood estimation method is used.The estimated value of unknown parameters in the model is obtained, and the pricing model of asset-backed securities is constructed by using the discounted cash flow method based on the early repayment rate measurement model.Chapter seven analyzes the institutional obstacles to the implementation of mortgage securitization in China, such as the immaturity of the primary mortgage market, the imperfection of personal credit system, the lagging development of credit rating institutions, and the lack of legal system.
【学位授予单位】：西北农林科技大学
【学位级别】：硕士
【学位授予年份】：2006
【分类号】：F832.5

【引证文献】