發(fā)布時間：2018-03-30 21:45

  本文選題：住房抵押貸款證券　切入點：強(qiáng)度模型　出處：《復(fù)旦大學(xué)》2014年碩士論文

【摘要】：本文主要是對我國住房抵押貸款的定價研究,目前國內(nèi)很少有學(xué)者對定價進(jìn)行定量研究。這主要是因為住房抵押貸款從發(fā)展至今時間不長,并且發(fā)生違約的情況不多,所以考慮違約風(fēng)險的歷史數(shù)據(jù)不足以用于可靠的定量分析。住房抵押貸款定價的常用的傳統(tǒng)方法主要有到期收益率曲線定價法、利率期限結(jié)構(gòu)曲線法、二叉樹定價模型和期權(quán)調(diào)整利差定價法。到期收益率是資產(chǎn)未來現(xiàn)金流的折現(xiàn)值等于資產(chǎn)實際價格時的回報率IRR,但這種方法中需要準(zhǔn)確的估計現(xiàn)金流量以及確認(rèn)合適的收益率,這兩者從實踐中很難得到準(zhǔn)確答案。利率期限結(jié)構(gòu)曲線法認(rèn)為證券的資金價格應(yīng)當(dāng)以市場利率為準(zhǔn),分別以各期的即期利率或到期收益率來計算貼現(xiàn)因子。二叉樹定價方法把提前償付看成是美式看漲期權(quán),利用一步步倒推的方法計算出期權(quán)的價格,這種方法主要問題是過程繁雜,而且是一種離散模型。期權(quán)調(diào)整利差定價法被現(xiàn)在普遍認(rèn)為比較完備的方法,它建立提前還款預(yù)測模型來預(yù)測不同環(huán)境下的提前還款速度,并假定提前還款速度僅受利率單一因素影響,再預(yù)測各條可能的利率變化路徑上各期的提前還款速度來預(yù)測MBS的現(xiàn)金流。OAS模型將利率的期限結(jié)構(gòu)及利率的波動性較好地結(jié)合了進(jìn)來。在OAS模型中模擬了大量地利率運動軌跡,這使得結(jié)果能在更大程度上反映真實情況,但這種定價方法也有較大的不足,定價過程類似于一種黑箱操作：投資者輸入假設(shè)然后得出風(fēng)險和收益的指標(biāo)。以上的幾種主流定價方法都存在著各自的缺陷。本文使用了“簡化方法”對結(jié)構(gòu)化方法改進(jìn),演變成為強(qiáng)度定價方法�！皬�(qiáng)度”是某種泊松過程首次到達(dá)時間τ所具有不變的平均到達(dá)速率。這種方法已被證明能很好地為企業(yè)債券以及信用衍生產(chǎn)品定價,近年來也開始有個別學(xué)者開始將此方法引入住房抵押貸款定價領(lǐng)域。強(qiáng)度定價方法是一類為違約概率等因素的變化假設(shè)了一個外生的過程并根據(jù)歷史數(shù)據(jù)來標(biāo)定的模型。通過將個人的違約等現(xiàn)象視為一種符合泊松過程的隨機(jī)事件,并用強(qiáng)度參數(shù)來分析對價值的影響。本文的強(qiáng)度定價方法選用了三個主要的變量：房價、違約以及無風(fēng)險貼現(xiàn)率,并為三個變量分別建立了估值模型。此模型的不足包括：首先并未對提前還款風(fēng)險對貸款價值的影響分析；再次是只針對固定利率抵押貸款的定價,而實踐中以浮動利率定價的占多數(shù)。
[Abstract]:This paper mainly studies the pricing of housing mortgage loan in our country. At present, few domestic scholars do quantitative research on the pricing. This is mainly due to the fact that the mortgage loan has not been developed for a long time, and there are few cases of default. Therefore, the historical data considering default risk is not enough for reliable quantitative analysis. The traditional methods of mortgage pricing include maturity yield curve pricing method, interest rate term structure curve method, interest rate term structure curve method. The rate of return due is the rate of return IRR when the discounted value of the future cash flow of the asset equals the real price of the asset, but this method needs to accurately estimate the cash flow and confirm the appropriate rate of return. It is difficult to get an accurate answer from practice. The term structure curve method of interest rate holds that the capital price of securities should be based on the market interest rate. The discount factor is calculated by the spot interest rate or the maturity yield of each period respectively. The binomial tree pricing method regards the advance payment as an American call option, and calculates the price of the option by a step by step backstepping method. The main problem of this method is that the process is complicated, and it is a discrete model. The option adjusted interest rate pricing method is generally considered to be a more complete method now. It establishes a prepayment forecasting model to predict the prepayment rate in different environments. And assume that the rate of prepayment is affected only by a single factor in interest rates. Then predict the prepayment rate of each period on each possible interest rate change path to predict the cash flow. The MBS model combines the term structure of interest rate and the volatility of interest rate well. A large number of interest rate trajectories are simulated in the OAS model. This allows the results to reflect the real situation to a greater extent, but this pricing method also has greater shortcomings. The pricing process is similar to that of a black box operation: investors input assumptions and then get indicators of risk and return. All of the above mainstream pricing methods have their own shortcomings. This paper uses the simplified method to improve the structured method. "intensity" is the constant average arrival rate of the first arrival time 蟿 of a Poisson process. This method has been proved to be a good pricing method for corporate bonds and credit derivatives. In recent years, some scholars have begun to introduce this method into the field of mortgage pricing. Intensity pricing method is a class of factors such as default probability assumed an exogenous process and calibrated according to historical data. By treating a person's breach of contract as a random event consistent with the Poisson process, Three main variables are selected in the intensity pricing method: housing price default and risk-free discount rate. The disadvantages of this model are as follows: firstly, the influence of prepayment risk on loan value is not analyzed; thirdly, the fixed rate mortgage pricing is only used. In practice, floating rate pricing accounts for the majority.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.45;F299.23

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