住房抵押贷款证券的强度定价方法研究

发布时间：2018-03-30 21:45

本文选题：住房抵押贷款证券　切入点：强度模型　出处：《复旦大学》2014年硕士论文

【摘要】：本文主要是对我国住房抵押贷款的定价研究,目前国内很少有学者对定价进行定量研究。这主要是因为住房抵押贷款从发展至今时间不长,并且发生违约的情况不多,所以考虑违约风险的历史数据不足以用于可靠的定量分析。住房抵押贷款定价的常用的传统方法主要有到期收益率曲线定价法、利率期限结构曲线法、二叉树定价模型和期权调整利差定价法。到期收益率是资产未来现金流的折现值等于资产实际价格时的回报率IRR,但这种方法中需要准确的估计现金流量以及确认合适的收益率,这两者从实践中很难得到准确答案。利率期限结构曲线法认为证券的资金价格应当以市场利率为准,分别以各期的即期利率或到期收益率来计算贴现因子。二叉树定价方法把提前偿付看成是美式看涨期权,利用一步步倒推的方法计算出期权的价格,这种方法主要问题是过程繁杂,而且是一种离散模型。期权调整利差定价法被现在普遍认为比较完备的方法,它建立提前还款预测模型来预测不同环境下的提前还款速度,并假定提前还款速度仅受利率单一因素影响,再预测各条可能的利率变化路径上各期的提前还款速度来预测MBS的现金流。OAS模型将利率的期限结构及利率的波动性较好地结合了进来。在OAS模型中模拟了大量地利率运动轨迹,这使得结果能在更大程度上反映真实情况,但这种定价方法也有较大的不足,定价过程类似于一种黑箱操作：投资者输入假设然后得出风险和收益的指标。以上的几种主流定价方法都存在着各自的缺陷。本文使用了“简化方法”对结构化方法改进,演变成为强度定价方法。“强度”是某种泊松过程首次到达时间τ所具有不变的平均到达速率。这种方法已被证明能很好地为企业债券以及信用衍生产品定价,近年来也开始有个别学者开始将此方法引入住房抵押贷款定价领域。强度定价方法是一类为违约概率等因素的变化假设了一个外生的过程并根据历史数据来标定的模型。通过将个人的违约等现象视为一种符合泊松过程的随机事件,并用强度参数来分析对价值的影响。本文的强度定价方法选用了三个主要的变量：房价、违约以及无风险贴现率,并为三个变量分别建立了估值模型。此模型的不足包括：首先并未对提前还款风险对贷款价值的影响分析；再次是只针对固定利率抵押贷款的定价,而实践中以浮动利率定价的占多数。
[Abstract]:This paper mainly studies the pricing of housing mortgage loan in our country. At present, few domestic scholars do quantitative research on the pricing. This is mainly due to the fact that the mortgage loan has not been developed for a long time, and there are few cases of default. Therefore, the historical data considering default risk is not enough for reliable quantitative analysis. The traditional methods of mortgage pricing include maturity yield curve pricing method, interest rate term structure curve method, interest rate term structure curve method. The rate of return due is the rate of return IRR when the discounted value of the future cash flow of the asset equals the real price of the asset, but this method needs to accurately estimate the cash flow and confirm the appropriate rate of return. It is difficult to get an accurate answer from practice. The term structure curve method of interest rate holds that the capital price of securities should be based on the market interest rate. The discount factor is calculated by the spot interest rate or the maturity yield of each period respectively. The binomial tree pricing method regards the advance payment as an American call option, and calculates the price of the option by a step by step backstepping method. The main problem of this method is that the process is complicated, and it is a discrete model. The option adjusted interest rate pricing method is generally considered to be a more complete method now. It establishes a prepayment forecasting model to predict the prepayment rate in different environments. And assume that the rate of prepayment is affected only by a single factor in interest rates. Then predict the prepayment rate of each period on each possible interest rate change path to predict the cash flow. The MBS model combines the term structure of interest rate and the volatility of interest rate well. A large number of interest rate trajectories are simulated in the OAS model. This allows the results to reflect the real situation to a greater extent, but this pricing method also has greater shortcomings. The pricing process is similar to that of a black box operation: investors input assumptions and then get indicators of risk and return. All of the above mainstream pricing methods have their own shortcomings. This paper uses the simplified method to improve the structured method. "intensity" is the constant average arrival rate of the first arrival time 蟿 of a Poisson process. This method has been proved to be a good pricing method for corporate bonds and credit derivatives. In recent years, some scholars have begun to introduce this method into the field of mortgage pricing. Intensity pricing method is a class of factors such as default probability assumed an exogenous process and calibrated according to historical data. By treating a person's breach of contract as a random event consistent with the Poisson process, Three main variables are selected in the intensity pricing method: housing price default and risk-free discount rate. The disadvantages of this model are as follows: firstly, the influence of prepayment risk on loan value is not analyzed; thirdly, the fixed rate mortgage pricing is only used. In practice, floating rate pricing accounts for the majority.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.45;F299.23

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