中国住房抵押贷款支持证券定价分析
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摘要
住房抵押贷款支持证券作为一种金融创新产品,在国外已经得到广泛和长期的运用,一方面产生了巨大的经济效应,一方面成为此次金融危机的诱因之一。但是抵押贷款支持证券不是本次金融危机产生的根本原因,不应该被质疑其实用性。2005年,中国开始进行贷款证券化试点,建设银行首次发行MBS(Mortgage-Backed Securities);2007年,建设银行在美国次贷危机的背景下再次发行MBS,资产证券化产品在中国的发展表现出扩大之势,但中国对MBS的研究主要集中在可行性和运用模式研究方面。因此,本文以“建立适合中国MBS定价的模型”为研究目的,借以配合MBS的发行和交易。
本文在理论模型评述和中国MBS特点分析的基础上,首先,总结出中国MBS定价的影响因素和风险,其中提前偿付风险是影响MBS定价的最主要风险;然后,分析提前偿付风险的影响因素,包括国家信贷政策和金融机构规定、居民收入水平、居民消费观念、人口统计因素、贷款账龄、疲乏效应、季节因素和利率因素,并认为对提前偿付预测有参考意义的因素是国民收入水平和人口统计因素;接着,文章分析评价现有模型在中国背景下对提前偿付风险和MBS定价的描述合理性,认为“经验假设预测模型”和“静态现金流定价模型”对中国定价模型的建立具有参考意义;最后,文章对PSA和静态现金流定价模型进行改进,结合建元2007-1的发行资料说明中国MBS如何定价。
Mortgage-Backed Securities has been widely used in abroad as a financial innovation products.It has had a huge economic effect,on the other hand,it has become one of the incentives of the financial crisis.However,MBS is not the root causes so that it should not be questioned its practicality.China stated to carry on the loan securitization experiment site in 2005,the Construction back distributed MBS for the first time.In 2007,the Constrution back distrubted MBS once more under the American loan crisis.The property securitization product display potential of the expanded in China's development,but the MBS research in China maily concertrates to fensible and the distribution patten.Therefore,the article take "fix the suitable MBS pricing model of China" as the research goal,in order to coordinate MBS's distritution and transaction.
With the review's of theoretical model and the analysis of Chinese MBS characteristic,firstily,the article summarizes the infulencing factors and risks of the Chinese MBS pricing,specially,the voluntary payment risk is th most primary risk. Sencondly,the artical analysis the voluntary prement risk's inflencing factor, including the national credit policy and the financial insititions provision;the resident income level,the resident expand idea,the population statistic factor,the loan account age,the tired effect,the season factor and the intrest rate factor,and thoughts that the national income level and population statistic factor have the reference significance to the voluntary payment forecast.Thirdly,the article thought that"the public negotiable securities association voluntary payment datum(PSA)"and"the static cash flow fixed pricing model's establishment".Finally,the article makes the improvement to PSA and the static cash flow pricing model,and try to pricing the China's Constrution back 2007-1 MBS.
本文在理论模型评述和中国MBS特点分析的基础上,首先,总结出中国MBS定价的影响因素和风险,其中提前偿付风险是影响MBS定价的最主要风险;然后,分析提前偿付风险的影响因素,包括国家信贷政策和金融机构规定、居民收入水平、居民消费观念、人口统计因素、贷款账龄、疲乏效应、季节因素和利率因素,并认为对提前偿付预测有参考意义的因素是国民收入水平和人口统计因素;接着,文章分析评价现有模型在中国背景下对提前偿付风险和MBS定价的描述合理性,认为“经验假设预测模型”和“静态现金流定价模型”对中国定价模型的建立具有参考意义;最后,文章对PSA和静态现金流定价模型进行改进,结合建元2007-1的发行资料说明中国MBS如何定价。
Mortgage-Backed Securities has been widely used in abroad as a financial innovation products.It has had a huge economic effect,on the other hand,it has become one of the incentives of the financial crisis.However,MBS is not the root causes so that it should not be questioned its practicality.China stated to carry on the loan securitization experiment site in 2005,the Construction back distributed MBS for the first time.In 2007,the Constrution back distrubted MBS once more under the American loan crisis.The property securitization product display potential of the expanded in China's development,but the MBS research in China maily concertrates to fensible and the distribution patten.Therefore,the article take "fix the suitable MBS pricing model of China" as the research goal,in order to coordinate MBS's distritution and transaction.
With the review's of theoretical model and the analysis of Chinese MBS characteristic,firstily,the article summarizes the infulencing factors and risks of the Chinese MBS pricing,specially,the voluntary payment risk is th most primary risk. Sencondly,the artical analysis the voluntary prement risk's inflencing factor, including the national credit policy and the financial insititions provision;the resident income level,the resident expand idea,the population statistic factor,the loan account age,the tired effect,the season factor and the intrest rate factor,and thoughts that the national income level and population statistic factor have the reference significance to the voluntary payment forecast.Thirdly,the article thought that"the public negotiable securities association voluntary payment datum(PSA)"and"the static cash flow fixed pricing model's establishment".Finally,the article makes the improvement to PSA and the static cash flow pricing model,and try to pricing the China's Constrution back 2007-1 MBS.
引文
[1]2005年第一期开元信贷资产支持证券发行说明书,2007年,http://www.chinabond.com.cn/Info/641934
[2]建元 2005-1个人住房抵押贷款证券化信托发行说明书,2007年,http://www.chinabond.com.cn/Info/562258
[3]银行开展信贷资产证券化应注意的问题,2007年,http://www.financialwealth.cn/NewsShow.asp?id=1371
[4]邱昆,抵押贷款证券化产品之早偿率与定价方法研究,硕士论文,北京大学,2007,第15页
[5]邱昆,抵押贷款证券化产品之早偿率与定价方法研究,硕士论文,北京大学,2007,第15页
[6],[7],[8]根据资产证券市场的债券发布说明书公布的每笔发行额加总求得,http://www.chinabond.com.en/jsp/include/CB_CN/index/moreInfoList.jsp?_tp_t1213154157187=5
[9]马喜得,中国抵押贷款支持证券定价与设计研究,博士论文,厦门大学,2007,第45页
[10]马喜得,中国抵押贷款支持证券定价与设计研究,博士论文,厦门大学,2007,第46页
[11]住房抵押贷款证券化被催生的早生儿,2005,http://finance.sina.com.cn/money/bank/bank_yhpl/20050413/08181512482.shtml
[12]孙奉军,提前偿付风险生成机理分析,国际金融研究,2001年第7期,第44页
[13]深圳市第五次全国人口普查主要数据公报,2001年,http://www.sztj.gov.cn/main/xxgk/tjsj/tjgb/pegb/200104171640.shtml
[14]姚学峰,我国住房抵押贷款证券定价问题研究,硕士论文,浙江大学,2007,第51页
[15]建元 2007-1个人住房抵押贷款证券化信托优先级资产支持证券发行结果公告,2007年,http://www.chinabond.com.cn/Info/562456
[16]建元 2007-1个人住房抵押贷款证券化信托优先级资产支持证券信用评级报告,2007年,http://www.chinabond.com.cn/Info/562346
[17]中债信息产品银行间固定利率国债收益率曲线,2007年,http://valuation.chinabond.com.cn/icbweb/index.htm?lx=gz
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[3]施方.住房抵押贷款支持证券的微分方程定价及有限差分解法,上海大学学报(自然科学版),2002,4:348-352.
[4]王建红.提前还款对抵押贷款及其支持证券定价的影响,中国房地产金融,2002,9:9-12.
[5]施方,俞自由,黄保佳,住房抵押贷款的比例提前偿付模型,数理统计与管理,2003,3:36
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[9]陈蓉、郭晓武,期权调整利差(OAS)及其应用研究,统计研究,2005,8:44-47
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[18]安春梅,住房抵押贷款证券化的风险因素分析,财会研究,2006,2:78
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[24]刘中显,提前偿贷对住房抵押贷款证券价值的影响及其计量,中国物价,2007,10:65
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[28]吴建刚,个人住房抵押贷款证券化案例分析,商业时代,2008,6:92
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[2]建元 2005-1个人住房抵押贷款证券化信托发行说明书,2007年,http://www.chinabond.com.cn/Info/562258
[3]银行开展信贷资产证券化应注意的问题,2007年,http://www.financialwealth.cn/NewsShow.asp?id=1371
[4]邱昆,抵押贷款证券化产品之早偿率与定价方法研究,硕士论文,北京大学,2007,第15页
[5]邱昆,抵押贷款证券化产品之早偿率与定价方法研究,硕士论文,北京大学,2007,第15页
[6],[7],[8]根据资产证券市场的债券发布说明书公布的每笔发行额加总求得,http://www.chinabond.com.en/jsp/include/CB_CN/index/moreInfoList.jsp?_tp_t1213154157187=5
[9]马喜得,中国抵押贷款支持证券定价与设计研究,博士论文,厦门大学,2007,第45页
[10]马喜得,中国抵押贷款支持证券定价与设计研究,博士论文,厦门大学,2007,第46页
[11]住房抵押贷款证券化被催生的早生儿,2005,http://finance.sina.com.cn/money/bank/bank_yhpl/20050413/08181512482.shtml
[12]孙奉军,提前偿付风险生成机理分析,国际金融研究,2001年第7期,第44页
[13]深圳市第五次全国人口普查主要数据公报,2001年,http://www.sztj.gov.cn/main/xxgk/tjsj/tjgb/pegb/200104171640.shtml
[14]姚学峰,我国住房抵押贷款证券定价问题研究,硕士论文,浙江大学,2007,第51页
[15]建元 2007-1个人住房抵押贷款证券化信托优先级资产支持证券发行结果公告,2007年,http://www.chinabond.com.cn/Info/562456
[16]建元 2007-1个人住房抵押贷款证券化信托优先级资产支持证券信用评级报告,2007年,http://www.chinabond.com.cn/Info/562346
[17]中债信息产品银行间固定利率国债收益率曲线,2007年,http://valuation.chinabond.com.cn/icbweb/index.htm?lx=gz
[1]姚长辉,固定收益证券创新原因与创新方式分析,经济科学,2000,4:21
[2]戴建国,黄培清.住房抵押贷款的提前支付特性及其定价,系统工程理论方法应用,2001,2:121-130
[3]施方.住房抵押贷款支持证券的微分方程定价及有限差分解法,上海大学学报(自然科学版),2002,4:348-352.
[4]王建红.提前还款对抵押贷款及其支持证券定价的影响,中国房地产金融,2002,9:9-12.
[5]施方,俞自由,黄保佳,住房抵押贷款的比例提前偿付模型,数理统计与管理,2003,3:36
[6]黎志成,资产支持证券定价模型研究,武汉金融,2004,4:32-34
[7]陈建明,银行业务中提前还款的经济学分析,华东经济管理,2004,6:173
[8]苏飞,住房抵押贷款证券化提前偿付风险分析,硕士论文,天津大学,2004
[9]陈蓉、郭晓武,期权调整利差(OAS)及其应用研究,统计研究,2005,8:44-47
[10]陈柏东,住房抵押贷款支持证券定价方法研究,中南财经政法大学学报,2005,2:40-46.
[11]朱世武、陈健恒,利用均衡利率模型对浮动利率债券定价,世界经济,2005,2:48
[12]吴富悦,深圳居民消费结构变化分析,特区经济,2005,2:20
[13]牟生洪,住房抵押贷款的定价研究,硕士论文,重庆大学,2005
[14]谢建春,我国住房抵押贷款证券化理论与实践研究,博士论文,华中农业大学,2005
[15]张颖,运用期权方法对银行贷款提前偿付行为的研究,金融经济,2006,56
[16]李晓峰,考虑提前偿还风险的MBS产品的定价模型,国信证券研究报告,2006,4.
[17]刘少波,张霖.金融创新中的信用曾级及其定价问题——以资产证券为例,金融研究,2006.3:131-137
[18]安春梅,住房抵押贷款证券化的风险因素分析,财会研究,2006,2:78
[19]赵旭,基于提前偿付风险的住房抵押贷款证券化(MBS)产品定价探讨,中国管理科学,2006,10:389
[20]危剑巧、谢赤、谈文胜,住房消费贷款提前清偿的影响因素与预测方法,长沙理工大学学报,2006,6:64
[21]陈晖,利率期限结构的最优估计及其应用研究,博士论文,湖南大学,2006
[22]林颖,生存分析在信用风险管理中应用的研究,硕士论文,厦门大学,2006
[23]陈建,MBS提前偿付风险分析,经济研究导刊,2007,3:90
[24]刘中显,提前偿贷对住房抵押贷款证券价值的影响及其计量,中国物价,2007,10:65
[25]付小玲,住房抵押贷款提前偿付的风险分析,经济研究导刊,2007,10:92
[26]戴国强、刘川巍,我国商业银行个人住房抵押贷款提前偿付模型的实证分析,财贸经济,2007,6:28
[27]刘疆,个人住房抵押贷款提前偿付风险实证研究,博士论文,西南财经大学,2007
[28]吴建刚,个人住房抵押贷款证券化案例分析,商业时代,2008,6:92
[29]陈勇,唐文进,住房抵押贷款及其衍生品定价理论与模型,经济评论,2008,2:145
[30]柳庆原,建设银行住房抵押贷款证券定价实证分析,武汉金融,2008,9:26
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