住房抵押贷款支持证券定价研究

发布时间：2018-04-24 05:15

本文选题：抵押过手证券（MPT） + CIR模型　；参考：《广东商学院》2013年硕士论文

【摘要】：自2005年建设银行发行国内第一只住房抵押贷款支持证券以来，我国的住房贷款证券化取得了长足的进步。同时我国商业银行固定利率住房抵押贷款业务也发展迅速。本文提出发行基于固定利率住房贷款的抵押过手贷款证券（Mortgage pass-throughSecurities，MPT）并研究其定价过程，从而可以促进固定利率住房抵押贷款市场的发展和丰富我国住房抵押贷款证券的品种。本文首先介绍了住房抵押贷款证券化运行原理，全面地阐述了住房抵押贷款证券化的参与主体、主要品种和运作机制。其次，本文研究了提前还款模型和利率模型。我们选择静态的PAS提前还款模型，来预测四种提前还款速度下的各期现金流。本文选用CIR动态利率模型来研究我国的利率期限结构。选取银行间债券市场的7天回购利率作为实证研究对象，运用极大似然估计法和R软件计算出模型的参数。最后，，本文对抵押过手证券（MPT）进行了仿真研究。我们利用MATLAB和R软件进行编程，并结合Monte-Carlo模拟求得各期现金流和即期利率路径，从而求出了不同提前偿还速度、不同期权调整利差（OAS）下MPT的理论价格。本文的研究结果表明：（1）在住房贷款证券化的初期，适宜采用PAS静态提前还款模型来预测现金流。（2）我国的货币市场利率的长期的平均水平2.54%，利率向长期平均水平收敛的速度16%，表明我国利率具有明显的均值回归的特征。（3）提前还款速度越快， OAS越大，所得到的MPT的理论价格越小。本文的整个定价过程能够为日后发行基于固定利率的抵押过手证券（MPT）提供很好的定价参考和借鉴。
[Abstract]:Since China Construction Bank issued the first mortgage-backed securities in China in 2005, the securitization of housing loans in China has made great progress. At the same time, China's commercial banks fixed-rate housing mortgage business has also developed rapidly. In this paper, we propose to issue Mortgage pass-through securities (MPT) based on fixed-rate housing loans and study its pricing process, which can promote the development of fixed-rate housing mortgage market and enrich the variety of housing mortgage securities in China. This paper first introduces the operation principle of housing mortgage securitization, and expounds the main body, main varieties and operation mechanism of housing mortgage securitization. Secondly, this paper studies prepayment model and interest rate model. We choose the static PAS prepayment model to predict the cash flow of each period under four prepayment rates. In this paper, CIR dynamic interest rate model is used to study the term structure of interest rate in China. The 7-day repo rate in the interbank bond market is selected as the empirical research object, and the parameters of the model are calculated by using the maximum likelihood estimation method and R software. Finally, this paper carries on the simulation research to the mortgage-over-hand securities (MPT). We use MATLAB and R software to program and combine with Monte-Carlo simulation to get the cash flow and spot interest rate path of each period. Thus we obtain the theoretical price of MPT under different prepayment speed and different option adjusted interest rate. The results of this paper show that: 1) in the early stage of housing loan securitization, It is suitable to use PAS static prepayment model to predict cash flow.) the long-term average level of money market interest rate in China is 2.54 and the rate of interest rate converging to the long-term average level is 16 percent, which indicates that the interest rate in China has the characteristic of obvious mean regression. The faster the prepayment rate, the larger the OAS. The theoretical price of the resulting MPT is smaller. The whole pricing process of this paper can provide a good pricing reference and reference for the future issue of mortgage-backed securities based on fixed interest rate (MPT).
【学位授予单位】：广东商学院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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