中国住房抵押贷款证券化的风险度量与防范
发布时间：2019-02-16 16:15
【摘要】：住房抵押贷款证券化起源于美国，是20世纪最伟大的金融创新之一，近年来在欧美、拉丁美洲以及亚洲等国家和地区蓬勃发展。自1996年个人住房抵押贷款进入中国也迎来了一个快速发展期。然而2007年全球次级债务危机的爆发却让中国看到了资产证券化背后的危机，从而意识到证券化过程的每一步实施都会存在风险，对这些风险进行有效的评估并结合中国的国情给出相应的对策，对中国住房抵押贷款市场证券化的稳步发展有重要意义。 本文首先阐述了住房抵押贷款证券化的相关理论知识，在对我国住房抵押贷款证券化的发展和现状进行深入分析研究的基础上，，借鉴美国次级债务危机的教训，引出住房抵押贷款证券化风险管理的重要性。选择其中最为重要的三个风险即提前偿付风险、信用风险以及利率风险为研究对象，从相关概念、在中国的现状、影响因素和度量方法等方面对这三个风险进行研究。选取“建元2005-1个人住房抵押贷款支持证券”为研究对象，运用多因素回归模型和CPV模型分别对提前偿付风险和信用风险进行度量，最后根据以上问题的研究成果，提出针对中国住房抵押贷款市场证券化现状相对应的意见和建议，从而对风险实施全面的管理，使风险整体水平降到最低。
[Abstract]:Mortgage-backed securitization originated from the United States and is one of the greatest financial innovations in the 20th century. In recent years, it has developed vigorously in Europe and America, Latin America and Asia and other countries and regions. Since 1996, personal housing mortgage loan into China also ushered in a rapid development period. However, the outbreak of the global subprime debt crisis in 2007 made China see the crisis behind asset securitization, thus realizing that every step of the securitization process has risks. It is of great significance for the steady development of China's housing mortgage market to evaluate these risks effectively and put forward corresponding countermeasures according to China's national conditions. This paper first expounds the relevant theoretical knowledge of mortgage securitization, on the basis of in-depth analysis and research on the development and current situation of mortgage securitization in China, draw lessons from the subprime debt crisis in the United States. It leads to the importance of risk management of mortgage securitization. Three of the most important risks, namely, the prepayment risk, the credit risk and the interest rate risk, are selected as the research objects. The three risks are studied from the related concepts, the current situation in China, the influencing factors and the measurement methods. This paper selects Jianyuan 2005-1 personal Housing Mortgage backed Securities as the research object, uses multi-factor regression model and CPV model to measure the risk of prepayment and credit risk, and finally, according to the research results of the above problems, This paper puts forward the corresponding opinions and suggestions in view of the current situation of securitization in China's housing mortgage market, so as to carry out overall risk management and reduce the overall risk level to the lowest.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.45;F299.23
本文编号：2424620
[Abstract]:Mortgage-backed securitization originated from the United States and is one of the greatest financial innovations in the 20th century. In recent years, it has developed vigorously in Europe and America, Latin America and Asia and other countries and regions. Since 1996, personal housing mortgage loan into China also ushered in a rapid development period. However, the outbreak of the global subprime debt crisis in 2007 made China see the crisis behind asset securitization, thus realizing that every step of the securitization process has risks. It is of great significance for the steady development of China's housing mortgage market to evaluate these risks effectively and put forward corresponding countermeasures according to China's national conditions. This paper first expounds the relevant theoretical knowledge of mortgage securitization, on the basis of in-depth analysis and research on the development and current situation of mortgage securitization in China, draw lessons from the subprime debt crisis in the United States. It leads to the importance of risk management of mortgage securitization. Three of the most important risks, namely, the prepayment risk, the credit risk and the interest rate risk, are selected as the research objects. The three risks are studied from the related concepts, the current situation in China, the influencing factors and the measurement methods. This paper selects Jianyuan 2005-1 personal Housing Mortgage backed Securities as the research object, uses multi-factor regression model and CPV model to measure the risk of prepayment and credit risk, and finally, according to the research results of the above problems, This paper puts forward the corresponding opinions and suggestions in view of the current situation of securitization in China's housing mortgage market, so as to carry out overall risk management and reduce the overall risk level to the lowest.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.45;F299.23
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