住房抵押贷款证券化风险问题研究
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摘要
资产证券化是20世纪70年代以来金融创新的重要成果之一,但美国次贷危机事件表明资产证券化的潜在风险是巨大的。次贷危机的爆发绝不是偶然的,在此之前,许多资产证券化项目都失败了,本文的分析表明,多家机构利用了资产证券化的一些制度漏洞来达到他们恶意的目的,这些行为为危机的最终爆发埋下了隐患。由于各个国家的制度不同,各国资产证券化的运作呈现出许多的差异。因此,透过国外具体制度的表象,从一般意义上深层次探讨资产证券化的风险防范问题,具有重要的理论价值和实践意义。本文就是运用经济学、统计学和计算机仿真等方法,剖析美国在住房抵押贷款证券化管理机制和有关机构所存在的问题,结合我国住房抵押贷款证券化进展状况,从增级评级制度、违约行为和交易者心理状态等方面研究资产证券化的风险问题。
虽然发生了次贷危机事件,但不能否认住房抵押贷款证券化的积极意义和正面作用。因此本文希望通过对证券化风险的研究为为中国资产证券化的发展提供有益的参考。具体的,本文进行了以下几方面的工作:
(1)对美国住房抵押贷款证券市场在增级过程中所出现的问题进行了详细剖析,得到了目前增级操作在制度方面的缺陷,分析不同增级方式对证券化发起方金融绩效的影响,建立了增级决策模型可用于证券化过程的增级决策,提出了增级方式的政策建议从源头抑制风险的产生和扩散。
(2)从制度层面分析了此次次级贷过程中,标准普尔等国外著名评级机构在评级结果方面暴露的严重错误的原因,结合美国、欧洲的经验和教训,提出了我国评级制度的建设意见;以天津地区住房抵押贷款数据为样本,对违约风险因素进行了回归分析,得到了因子分析结果,提出了基础数据匮乏的情况下,住房抵押贷款资金池的风险进行定性和定量预测的方法。
(3)在美国住房抵押贷款证券的繁荣阶段(或者说泡沫阶段),众多投资者,甚至著名的大型投资机构均表现出了非理性的,投资冲动,并最终造成的目前的危机局面,经典的均衡模型难以对其进行合理的解释。本文依据行为金融学的思想,结合信息技术中的Agent建模方式,对住房抵押贷款证券市场的发展和变化规律进行仿真研究。虚拟仿真平台利用了行为金融学中的投资者心态模型,仿真结果的趋势和次贷危机演化结果较为一致。因此本文建立的虚拟金融平台和仿真结果对我国住房抵押贷款证券化过程中的风险控制具有重要的现实意义。
Asset securitization has been one of the most important fruits of financial innovation since 1970’5. But subprime mortgages crisis of American tells that there are huge potential risks in asset securitization. The crisis was not thought to be accidental, because there are so many cases failed in asset securitization before this crisis. During the processes of securitizing, many institutes improper utilize the weaknesses of exiting rules and regulations for their own purpose, which lead to the break up of the crisis. The practices of asset securitization vary from country to country. It’s necessary, both in theory and practice, to make efforts on institutional risk management of asset securitization and illustrate superficies of idiographic institutions of different countries in a general meaning.
The economic, statistics and simulation were applied to analyze the problem of the American securitization rule. Based on the securitization practice, the problems of credit evolution rule, credit enhancement rule, mortgage default and participator’s behavior were researched to control the MBS risk.
Although the break up of subprime crisis has negative impact on our MBS process, we could not deny the fact that the MBS do have positive on the bank and assets industry. This study intends to provide a valuable perspective of current asset securitization to provide a valuable perspective of current asset securitization to relevant people in China by emphasizing on how to avoid risks. The dissertation includes the following parts.
(1) The problem of credit enhancement, revealed during the American subprime crisis, was fully analyzed in this dissertation, and the defect of enhancement manage rules was obtained. What’s more, the deferent methods to enhancement may have various effects on the securitization initiator, so the relation between the methods and the effects was researched. Based on the results, a credit enhancement design model was proposed and policy recommendations were proposed to control the risk form the origin.
(2) From the point of evolution technology, the flaws of commonly used model for evolution were research, and we find that the evolution results relay heavily on the history data. From the point of management system, we find that there’s no appropriate law for the management of the evolution institutes, and the evolution results were related to their income and market sharing, so, it’s imposable to get a fair-and-square evolution results by their wiliness. Logistic regression was applied to research the factor for default rate, and factor analysis results were gated, through the regression. The scarcity of China bank default data is quiet obvious, which would be a hamper to the applying of classical model. So, through the combination of qualitative and quantitative model, a new risk evaluation method was provided for the securitization work of China.
(3) During the booming up stage of the American securitization stage, many investors, even some world famous intuitions, took over aggressive investment policies, and made many mistakes, which brought about the crisis. The classical general equilibrium could not give an appropriate explain the irrational mistakes, so, based the behavior finance, the agent modeling technology was applied to the research of mortgage based securitization. The simulation takes advantage of Investor’s Psychology Model of Finance, and the result fits the variation tendency of American securitization market well, so we believe that the agent based technology would be much help to the risk manage of China securitization market.
虽然发生了次贷危机事件,但不能否认住房抵押贷款证券化的积极意义和正面作用。因此本文希望通过对证券化风险的研究为为中国资产证券化的发展提供有益的参考。具体的,本文进行了以下几方面的工作:
(1)对美国住房抵押贷款证券市场在增级过程中所出现的问题进行了详细剖析,得到了目前增级操作在制度方面的缺陷,分析不同增级方式对证券化发起方金融绩效的影响,建立了增级决策模型可用于证券化过程的增级决策,提出了增级方式的政策建议从源头抑制风险的产生和扩散。
(2)从制度层面分析了此次次级贷过程中,标准普尔等国外著名评级机构在评级结果方面暴露的严重错误的原因,结合美国、欧洲的经验和教训,提出了我国评级制度的建设意见;以天津地区住房抵押贷款数据为样本,对违约风险因素进行了回归分析,得到了因子分析结果,提出了基础数据匮乏的情况下,住房抵押贷款资金池的风险进行定性和定量预测的方法。
(3)在美国住房抵押贷款证券的繁荣阶段(或者说泡沫阶段),众多投资者,甚至著名的大型投资机构均表现出了非理性的,投资冲动,并最终造成的目前的危机局面,经典的均衡模型难以对其进行合理的解释。本文依据行为金融学的思想,结合信息技术中的Agent建模方式,对住房抵押贷款证券市场的发展和变化规律进行仿真研究。虚拟仿真平台利用了行为金融学中的投资者心态模型,仿真结果的趋势和次贷危机演化结果较为一致。因此本文建立的虚拟金融平台和仿真结果对我国住房抵押贷款证券化过程中的风险控制具有重要的现实意义。
Asset securitization has been one of the most important fruits of financial innovation since 1970’5. But subprime mortgages crisis of American tells that there are huge potential risks in asset securitization. The crisis was not thought to be accidental, because there are so many cases failed in asset securitization before this crisis. During the processes of securitizing, many institutes improper utilize the weaknesses of exiting rules and regulations for their own purpose, which lead to the break up of the crisis. The practices of asset securitization vary from country to country. It’s necessary, both in theory and practice, to make efforts on institutional risk management of asset securitization and illustrate superficies of idiographic institutions of different countries in a general meaning.
The economic, statistics and simulation were applied to analyze the problem of the American securitization rule. Based on the securitization practice, the problems of credit evolution rule, credit enhancement rule, mortgage default and participator’s behavior were researched to control the MBS risk.
Although the break up of subprime crisis has negative impact on our MBS process, we could not deny the fact that the MBS do have positive on the bank and assets industry. This study intends to provide a valuable perspective of current asset securitization to provide a valuable perspective of current asset securitization to relevant people in China by emphasizing on how to avoid risks. The dissertation includes the following parts.
(1) The problem of credit enhancement, revealed during the American subprime crisis, was fully analyzed in this dissertation, and the defect of enhancement manage rules was obtained. What’s more, the deferent methods to enhancement may have various effects on the securitization initiator, so the relation between the methods and the effects was researched. Based on the results, a credit enhancement design model was proposed and policy recommendations were proposed to control the risk form the origin.
(2) From the point of evolution technology, the flaws of commonly used model for evolution were research, and we find that the evolution results relay heavily on the history data. From the point of management system, we find that there’s no appropriate law for the management of the evolution institutes, and the evolution results were related to their income and market sharing, so, it’s imposable to get a fair-and-square evolution results by their wiliness. Logistic regression was applied to research the factor for default rate, and factor analysis results were gated, through the regression. The scarcity of China bank default data is quiet obvious, which would be a hamper to the applying of classical model. So, through the combination of qualitative and quantitative model, a new risk evaluation method was provided for the securitization work of China.
(3) During the booming up stage of the American securitization stage, many investors, even some world famous intuitions, took over aggressive investment policies, and made many mistakes, which brought about the crisis. The classical general equilibrium could not give an appropriate explain the irrational mistakes, so, based the behavior finance, the agent modeling technology was applied to the research of mortgage based securitization. The simulation takes advantage of Investor’s Psychology Model of Finance, and the result fits the variation tendency of American securitization market well, so we believe that the agent based technology would be much help to the risk manage of China securitization market.
引文
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