基于风险调整资本收益率的MBS定价

发布时间：2018-01-13 05:01

本文关键词：基于风险调整资本收益率的MBS定价　出处：《财会月刊》2013年16期 　论文类型：期刊论文

【摘要】：传统住房抵押贷款支持证券(MBS)定价方法多局限于从现金流结构方面分析违约行为对定价产生的影响,本文考虑了违约行为的风险溢价,在期权调整利差定价法的基础上,引入风险调整资本收益率(RAROC),构建价格调整系数对证券理论价格进行修正。同时,运用具有相关波动因子的广义随机波动HJM模型,结合经典的Schwartz-Torous提前还款模型,基于改进的期权调整利差定价法对MBS定价进行研究,初步建立起商业银行风险收益视角下的MBS定价模型。
[Abstract]:The traditional housing mortgage backed securities (MBS) pricing method is limited to structure from the cash flow analysis of the breach of contract pricing, considering the default risk premium based on the option adjusted spread pricing method, introducing risk adjusted capital gains rate (RAROC), the construction of securities price adjustment coefficient the theory of price correction. At the same time, by using the generalized HJM model with stochastic volatility fluctuations related factors, combined with the classic Schwartz-Torous prepayment model, option adjusted spread pricing improvement research on MBS pricing based on MBS is established from the perspective of pricing model of commercial bank risk return.

【作者单位】：郑州大学管理工程学院;
【分类号】：F224;F830.91
【正文快照】： 一、住房抵押贷款支持证券定价方法的变化住房抵押贷款支持证券(MBS)在国外的发展已有30余年的历史,其定价方法主要经历了传统定价方法和计量经济方法两个阶段。传统定价方法是采用单纯的现金流分析,在假定的提前还款率下,用同期国债利率加上价差作为贴现率对预测的未来现金

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