我国住房抵押贷款证券化模式优化研究

发布时间：2018-01-14 09:23

本文关键词：我国住房抵押贷款证券化模式优化研究　出处：《郑州大学》2017年硕士论文　论文类型：学位论文

【摘要】：住房抵押贷款支持证券(Residential Mortgage-Backed Security,RMBS)是最早开发的一种资产支持证券(Asset-Backed Security,ABS),且其占整个资产支持证券市场的比重较大。住房抵押贷款证券化业务需要一整套的制度安排和一系列的操作流程支持,开展住房抵押贷款证券化业务既体现了金融市场较高的发展水平,也促进了金融市场的进一步完善和发展。目前我国房地产市场活跃,个人住房贷款在新增贷款中的比重不断增加,开展我国住房抵押贷款证券化研究既有利于丰富金融市场结构,也有利于化解金融市场风险。我国重新启动住房抵押贷款证券化业务以来,继承之前尝试阶段的证券化模式,由商业银行发起证券化业务并委托信托公司以基础资产池为支持发行个人购房贷款支持证券。探索我国住房抵押贷款证券化模式优化选择有利于规范我国RMBS市场,促进货币市场与资本市场的对接,防范金融市场风险并贯彻政府意图。本文采用了现代金融理论,计量经济理论、博弈论等相关学科的知识,主要运用了比较分析和实证研究的方法。本文共分为五个章节。第一章引言首先阐述相关概念和基本背景,描绘对于资产证券化和住房抵押贷款证券化业务的整体图景。着重介绍了国内外的相关研究成果,文章思路以及创新不足之处。第二章分析了我国住房抵押贷款证券化模式的特征。在比较住房抵押贷款证券化一般模式的基础上针对我国住房抵押贷款证券化模式中存在的问题分环节进行了分析。第三章将我国住房抵押贷款证券化模式按操作流程分为三个部分,即发起人向特殊目的载体出售资产的环节、特殊目的载体环节和特殊目的载体出售产品的环节。本章分阶段对我国住房抵押贷款证券化模式优化进行了具体分析,挑选出了影响模式优化的多个重要部分。第四章在第三章对我国住房抵押贷款证券化模式优化分析的基础上,分操作环节对具体模式优化进行实证分析。建立模型定量分析了影响提前还款行为的因素,通过博弈论模型比较了不同类型特殊目的载体的优劣,从制度约束和成本角度分析了我国RMBS产品类型和信用增级程度的选择。第五章归纳总结了第四章的分析结果。本章依据研究成果提出了我国住房抵押贷款证券化模式优化的具体建议,并对具体操作流程和相关配套制度提出了针对性的建议。
[Abstract]:Residential Mortgage-Backed Security. RMBS is one of the earliest asset-backed securities, Asset-Backed Security (ABS). And it accounts for a large proportion of the whole asset-backed securities market. Mortgage securitization business needs a set of institutional arrangements and a series of operational processes to support. The development of mortgage securitization not only reflects the high level of financial market development, but also promotes the further improvement and development of the financial market. At present, the real estate market in China is active. The proportion of personal housing loans in the new loans is increasing. It is beneficial to enrich the financial market structure to carry out the research on the securitization of housing mortgage loans in China. It also helps to resolve the financial market risk. Since our country restarted the housing mortgage securitization business, we have inherited the securitization model of the previous stage. The commercial bank initiated the securitization business and entrusted the trust company to issue the personal mortgage loan supporting securities with the support of the basic asset pool. Exploring the optimization and selection of the housing mortgage securitization model in China is conducive to standardizing the RMB in China. S market. This paper adopts the knowledge of modern financial theory, econometric theory, game theory and other related disciplines, to promote the connection between the money market and the capital market, to prevent the financial market risk and to carry out the government's intention. This paper is divided into five chapters. The first chapter introduces the related concepts and basic background. Describes the overall picture of asset securitization and mortgage securitization business, focusing on the domestic and foreign related research results. The second chapter analyzes the characteristics of the housing mortgage securitization model in China. On the basis of comparing the general model of housing mortgage loan securitization, it aims at the housing mortgage loan securitization model of our country. The third chapter divides the housing mortgage securitization model into three parts according to the operation process. That is, the sponsors sell assets to special purpose carriers. This chapter analyzes the optimization of China's housing mortgage securitization model in stages. Chapter 4th is based on the analysis of the optimization of China's housing mortgage securitization model in the third chapter. Empirical analysis of the specific model optimization is carried out in the process of operation. The factors affecting prepayment behavior are quantitatively analyzed by establishing a model, and the advantages and disadvantages of different types of special purpose carriers are compared by the game theory model. This paper analyzes the choice of RMBS product types and credit enhancement degree in China from the point of view of system constraint and cost. Chapter 5th summarizes the analysis results of Chapter 4th. Based on the research results, this chapter puts forward the housing mortgage loan in China. The concrete suggestion of optimizing securitization mode. And the specific operation process and related supporting system put forward targeted recommendations.
【学位授予单位】：郑州大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F299.23;F832.479;F832.51

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