商业房地产抵押支持证券的违约集聚风险与定价模型研究

发布时间：2018-04-07 17:17

本文选题：商业抵押支持证券　切入点：违约集聚　出处：《华中科技大学》2014年硕士论文

【摘要】：商业抵押支持证券指的是将传统的商业抵押贷款汇聚形成抵押资产池，然后通过证券化的过程，以债券的形式向投资者融资的方式。具有价格低等特点，它的销售收入在返还地产拥有者后，结余的部分用于偿还贷款的本息，盈余将作为发行公司的运营资本。是除银行贷款外，地产开发商筹资的新选择。近年来商业地产发展较快，因而对这种新型的证券化产品进行定价研究是有意义的研究。本文主要考虑商业抵押证券中的相关性风险，主要通过交易参与者模型对违约的相关性进行分析，，基于JarrowYu的违约相关性模型，引入指数衰减函数对违约相关性的模型进行了推广，并分析其联合分布函数和概率密度函数，但对于求解带来了一定难度。在违约相关性的度量分析上，通过Copula函数对违约相关性进行刻画。对于商业抵押支持证券的定价分析，通过违约相关性的指数衰减模型建立了CMBS的定价模型，并给出违约集聚风险的违约强度分析；同时给出了Copula相关性度量下的CMBS的定价方程，并分析了两种定价的异同。对于不同方法下给出的定价方程，Copula相关性度量下的定价方程中相关性较低，给出的方程为近似结果，而违约集聚条件下的定价模型中则可以描述更为复杂的违约相关性。对不同的违约相关性，定价模型有不同的适应性。
[Abstract]:Commercial mortgage-backed securities refers to the traditional commercial mortgage loans to form a pool of mortgage assets, and then through the process of securitization, in the form of bonds to investors.Its sales income is returned to the property owner, the balance is used to repay the principal and interest of the loan, and the surplus will be used as the working capital of the issuing company.Is in addition to bank loans, real estate developers financing new options.In recent years, commercial real estate has developed rapidly, so it is meaningful to study the pricing of this new securitization product.This paper mainly considers the correlation risk in commercial mortgage securities, mainly through the transaction participant model to analyze the correlation of default, based on JarrowYu default correlation model,The exponential attenuation function is introduced to generalize the model of default correlation, and its joint distribution function and probability density function are analyzed.In the metric analysis of default correlation, the correlation of default is described by Copula function.For the pricing analysis of commercial mortgage-backed securities, through the exponential attenuation model of default correlation, the pricing model of CMBS is established, and the default intensity analysis of default agglomeration risk is given. At the same time, the pricing equation of CMBS under Copula correlation measurement is given.And analyzed the similarities and differences between the two pricing.For the pricing equations given under different methods, the correlation of the pricing equations under Copula correlation metric is low, the equation given is approximate results, and the pricing model under default agglomeration conditions can describe more complex default correlation.Pricing models have different adaptability to different default correlation.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.45

【相似文献】