中国抵押支持证券价格的影响因素研究

发布时间：2018-01-04 07:28

本文关键词：中国抵押支持证券价格的影响因素研究　出处：《广东财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：抵押支持证券自问世以来在发达国家得到了充足的发展。到2007年底，美国抵押支持证券的存量和流动性都仅次于美国国债。中国的信贷资产证券化自2012年重启以来一直是金融改革的重要环节，国家在扩大试点的同时逐步推进信贷资产证券化的常规化发展。抵押支持证券在增强资产流动性、降低融资成本、减少风险资产和资产负债管理等方面显示出其他金融资产所不具有的优势。由于存在提前偿付行为，所以抵押支持证券的现金流结构比较复杂，给抵押支持证券的定价带来了困难。利率期限结构、同期国债的风险溢价、资产池中抵押贷款的违约率和提前偿付等因素均能影响抵押支持证券的价格。本文在综合分析各定价模型的基础上，选取期权调整利差定价法作为研究的理论基础。抵押支持证券的价格因计划本金偿付和提前偿付的存在而逐渐下降，，直接分析各因素对其价格的影响不太现实，所以本文选取期权调整利差作为抵押支持证券价格的代理变量。并采用CIR模型描述动态利率期限结构，采用蒙特卡罗方法模拟利率路径，采用ARMA模型描述和预测提前偿付率。在此基础上，计算得出抵押支持证券的预期现金流，进而计算出期权调整利差。通过结构向量自回归模型分析同期国债风险溢价、资产池抵押贷款的违约率和提前偿付率对期权调整利差的影响，进一步得出这些因素对抵押支持证券价格的影响。最后本文在分析实证结果的基础上，探讨在我国发展抵押支持证券的可行性并提出相应的政策建议。
[Abstract]:Mortgage-backed securities have been well developed in developed countries since their inception. By end of 2007. The stock and liquidity of mortgage-backed securities in the United States are second only to Treasury bonds. China's securitization of credit assets has been an important part of financial reform since its resumption in 2012. At the same time, the state has expanded the pilot program and gradually promoted the regular development of credit asset securitization. Mortgage-backed securities are enhancing asset liquidity and reducing financing costs. Risk-reducing assets and asset-liability management and other aspects of the show other financial assets do not have an advantage. Because of the prepayment behavior, the cash flow structure of mortgage-backed securities is complex, which brings difficulties to the pricing of mortgage-backed securities. The default rate and prepayment of mortgage in the asset pool can affect the price of mortgage-backed securities. The option adjusted interest rate pricing method is selected as the theoretical basis of the study. The price of mortgage-backed securities decreases gradually because of the existence of planned principal repayment and early repayment. It is not realistic to directly analyze the influence of various factors on the price of mortgage-backed securities. So this paper selects the option adjustment spread as the proxy variable of the mortgage-backed securities price and uses CIR model to describe the dynamic interest rate term structure and Monte Carlo method to simulate the interest rate path. Based on the ARMA model, the expected cash flow of mortgage-backed securities is calculated. Based on the structural vector autoregressive model, the paper analyzes the influence of the risk premium of treasury bonds, the default rate of asset pool mortgage and the rate of prepayment on the adjusted interest rate of option through structural vector autoregressive model. Finally, based on the analysis of empirical results, this paper discusses the feasibility of developing mortgage-backed securities in China and puts forward corresponding policy recommendations.
【学位授予单位】：广东财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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