住房抵押贷款产品创新风险研究
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摘要
爆发于2007年美国的次贷危机使得金融界和学术界已普遍意识到对住房抵押贷款产品创新进行缜密的风险管理的必要性和紧迫性。住房抵押贷款证券化是我国目前主要的住房抵押贷款产品创新形式。然而,与美国住房抵押贷款支持证券不同,我国的个人住房抵押贷款支持证券具有自已的特性：其基础资产的利率是根据中国人民银行年度基准利率进行调整而得,更倾向于浮动利率的特性,而美国住房抵押贷款支持证券基础资产多为固定利率制。因而,我国住房抵押贷款证券化的风险也与国外呈现出不同特色。然而,据笔者掌握的文献,针对我国个人住房抵押贷款证券化的特性,对其进行系统性理论研究和实证研究还较少。基于上述背景,本文以我国个人住房抵押贷款证券化的三大风险为研究对象,试图从宏观角度识别影响其提前偿付风险、信用风险和房地产行情逆转风险的主要因素,并进而对提前偿付风险和信用风险进行回归分析,为银行在进行住房抵押贷款证券化有效管理其风险奠定理论和技术基础。
本文通过总结国内外学者研究成果,为本文实证研究的变量选择与量化方法提供理论指导。在规范分析基础上,笔者利用SPSS16.0软件中的因子分析、Logistic模型、多元线性回归分析以及Credit Portfolio View模型对建元2005-1的提前偿付风险和信用风险进行了实证研究,分别建立提前偿付风险和信用风险的回归函数,得出了以下主要结论：
1、通过文献梳理以及我国现状分析,提出我国个人住房抵押贷款证券化的三大风险：提前偿付风险、信用风险和房地产行情逆转风险。从宏观角度提出利率、宏观经济形势、股票市场、黄金市场、房地产市场行情等是其风险的影响因素。
2、实证研究得出：货币流通量因子、宏观经济因子、股市价值因子对提前偿付风险有着较大影响。货币流通量因子与股市价值因子均对提前偿付风险为负相关影响,而宏观经济因子对提前偿付行为有着正相关影响。
3、实证研究得出：利率因子、市场预期因子以及总体经济景气因子对信用风险影响较大。利率因子以及市场预期因子越大,信用风险越大；而总体经济景气因子越大,信用风险越小；反之亦然。
The U.S. subprime mortgage crisis, which broke out in 2007, is a warning for the necessity and urgency of the risk management of Residential Mortgage-backed Product Innovation, of which RMBS (Residential Mortgage Backed Securitization) is one important form. However, the underlying assets of China's residential mortgage-backed securities, whose interest rate is based on the annual benchmark given by the People's Bank of China, differ from the counterparts in U.S.A. The interest rate of the residential loans in China is similar to the floating rate, while the rate of U.S. residential mortgage loans is fixed. Therefore, China's RMBS showed different characteristics. However, according to the papers which the author masters, there was little systematic theory research and empirical research on the risks of China's RMBS. Based on the background, this paper using three mainly risks of China's RMBS as the research object, trying to view from the macroscopic aspect, recognized the main factors influencing the prepayments risk, default risk and real estate market reversal risk. The paper then made regression analysis to prepayments risk and default risk, trying to provide banks of effectively risk management of RMBS on theoretical and technical basis.
This article summarizes the domestic and overseas scholars' research results, which provided this variable selection and quantitative methods theoretical guidance of the empirical study. On the basis of normative analysis, the authors use the factor analysis, Logistic model, the multivariate linear regression analysis in SPSS 16.0 and Credit Portfolio View model to do empirical studies on the prepayments risk and default risk of Jianyuan 2005-1.The paper obtained the following conclusions and innovative points:
First, the paper focuses on three major risks of China's RMBS, namely prepayment risk, default risk as well as the downturn risk of real estate market. Interest rate, macro economic situation, the stock market and gold market, real estate market are factors contributing to the three major risks from a macro perspective.
Second, according to results, the currency factor, macroeconomic factor and the market value factor of stock are taken into the model as variables, which showed great impacts on prepayment risk. Currency factor and the market value factor of stock have negative impacts on the prepayment risk, while the macroeconomic factor has a positive influence on the borrowers' prepayment behavior.
Third, interest rate factor, market expectation factor and the overall economic factor entered the default risk model as variables, which showed great impacts on default risk of RMBS in China. The greater the interest rate factor and the market expectation factor is, the greater the default risk is; meanwhile, the greater the overall economic factor is, the smaller the default risk is; and vice versa.
本文通过总结国内外学者研究成果,为本文实证研究的变量选择与量化方法提供理论指导。在规范分析基础上,笔者利用SPSS16.0软件中的因子分析、Logistic模型、多元线性回归分析以及Credit Portfolio View模型对建元2005-1的提前偿付风险和信用风险进行了实证研究,分别建立提前偿付风险和信用风险的回归函数,得出了以下主要结论：
1、通过文献梳理以及我国现状分析,提出我国个人住房抵押贷款证券化的三大风险：提前偿付风险、信用风险和房地产行情逆转风险。从宏观角度提出利率、宏观经济形势、股票市场、黄金市场、房地产市场行情等是其风险的影响因素。
2、实证研究得出：货币流通量因子、宏观经济因子、股市价值因子对提前偿付风险有着较大影响。货币流通量因子与股市价值因子均对提前偿付风险为负相关影响,而宏观经济因子对提前偿付行为有着正相关影响。
3、实证研究得出：利率因子、市场预期因子以及总体经济景气因子对信用风险影响较大。利率因子以及市场预期因子越大,信用风险越大；而总体经济景气因子越大,信用风险越小；反之亦然。
The U.S. subprime mortgage crisis, which broke out in 2007, is a warning for the necessity and urgency of the risk management of Residential Mortgage-backed Product Innovation, of which RMBS (Residential Mortgage Backed Securitization) is one important form. However, the underlying assets of China's residential mortgage-backed securities, whose interest rate is based on the annual benchmark given by the People's Bank of China, differ from the counterparts in U.S.A. The interest rate of the residential loans in China is similar to the floating rate, while the rate of U.S. residential mortgage loans is fixed. Therefore, China's RMBS showed different characteristics. However, according to the papers which the author masters, there was little systematic theory research and empirical research on the risks of China's RMBS. Based on the background, this paper using three mainly risks of China's RMBS as the research object, trying to view from the macroscopic aspect, recognized the main factors influencing the prepayments risk, default risk and real estate market reversal risk. The paper then made regression analysis to prepayments risk and default risk, trying to provide banks of effectively risk management of RMBS on theoretical and technical basis.
This article summarizes the domestic and overseas scholars' research results, which provided this variable selection and quantitative methods theoretical guidance of the empirical study. On the basis of normative analysis, the authors use the factor analysis, Logistic model, the multivariate linear regression analysis in SPSS 16.0 and Credit Portfolio View model to do empirical studies on the prepayments risk and default risk of Jianyuan 2005-1.The paper obtained the following conclusions and innovative points:
First, the paper focuses on three major risks of China's RMBS, namely prepayment risk, default risk as well as the downturn risk of real estate market. Interest rate, macro economic situation, the stock market and gold market, real estate market are factors contributing to the three major risks from a macro perspective.
Second, according to results, the currency factor, macroeconomic factor and the market value factor of stock are taken into the model as variables, which showed great impacts on prepayment risk. Currency factor and the market value factor of stock have negative impacts on the prepayment risk, while the macroeconomic factor has a positive influence on the borrowers' prepayment behavior.
Third, interest rate factor, market expectation factor and the overall economic factor entered the default risk model as variables, which showed great impacts on default risk of RMBS in China. The greater the interest rate factor and the market expectation factor is, the greater the default risk is; meanwhile, the greater the overall economic factor is, the smaller the default risk is; and vice versa.
引文
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[3]JA Schumpeter. The Journal of Economic History [J]:The Journal of Economic History, Nov.,1947:149-159
[4]施培公.后发优势——模仿创新的理论与实证研究[M]：清华大学出版社,1999
[5]谭军.我国住房金融创新对策研究[D].硕士学位论文,江西财经大学,2002
[6]张海燕,赵宇华和龙海红.资产证券化原理与实务[M]：中国人民大学出版社,2007
[7]Fabozzi, F. J. The Handbook of Mortgage Backed Securities [M]:The Smith Publishing house ltd,1995
[8]Calhoun, C. A.& Deng, Y. A Dynamic Analysis of Fixed- and Adjustable-Rate Mortgage Terminations [J]. The Journal of Real Estate Finance and Economics,2002,24 (1):9-33
[9]Ambrose, B. W.& Sanders, A. B. Commercial Mortgage-Backed Securities: Prepayment and Default [J]. The Journal of Real Estate Finance and Economics,2003,26(2):179-196
[10]Hall, A. Controlling for Burnout in Estimating Mortgage Prepayment Models [J]. Journal of Housing Economics,2000, Volume 9 (Issue 4)
[11]卫宏泽.我国住房抵押贷款证券化风险管理研究[D].硕士学位论文,首都经济贸易大学,2009
[12]Dunn, K. B.& McConnell, J. J. Valuation of GNMA Mortgage-Backed Securities [J]. The Journal of Finance,1981,36 (3 Jun.,1981):599-616
[13]Schwartz, E. S.& Torous, W. N. Prepayment and the Valuation of Mortgage-Backed Securities[J]. The Journal of Finance,1989,44 (2 Jun., 1989):375-392
[14]Kang, P.& Zenios, S. A. Complete Prepayment Models for Mortgage-Backed Securities[J]. Management Science Focused Issue on Financial Modeling,1992,38 (11 Nov.,1992):1665-1685
[15]Stanton, R. Rational Prepayment and the Valuation of Mortgage-Backed Securities [J]. The Review of Financial Studies,1995,8 (3 Autumn,1995): 677-708
[16]Campbell, T. S.& Dietrich, J. K. The Determinants of Default on Insured Conventional Residential Mortgage Loans [J]. The Journal of Finance,1983,38 (5 Dec.,1983):1569-1581
[17]Ambrose, B. W., Jr. Buttimer, R. J.& Capone, C. A. Pricing Mortgage Default and Foreclosure Delay [J]. Journal of Money, Credit and Banking, 1997,29 (3Aug.,1997):314-325
[18]Babbel, D. F., Merrill, C.& Panning, W. Default Risk and the Effective Duration of Bonds [J]. Financial Analysts Journal,1997,53 (1Jan.-Feb. 1997):35-44
[19]Lambrecht, B. M., Perraudin, W. R. M.& Satchell, S. Mortgage Default and Possession under Recourse:A Competing Hazards Approach[J]. Journal of Money, Credit and Banking,2003,35 (3 Jun.,2003):425-442
[20]Dubey, P., Geanakoplos, J.& Shubik, M. Default and Punishment in General Equilibrium[J]. Econometrica 2005,73 (1Jan.,2005):1-37
[21]Schwartz, E. S.& Torous, W. N. Prepayment, Default, and the Valuation of Mortgage Pass-Through Securities [J]. The Journal of Business 1992,65 (2Apr.,1992):221-239
[22]Quercia, R.& Spader, J. Does Homeownership Counseling Affect the Prepayment and Default Behavior of Affordable Mortgage Borrowers?[J]. Journal of Policy Analysis and Management,2008,27 (2Spring,2008) 304-325
[23]Jaffee, D. M., Rosen, K. T.& Friedman, B. M. et al. Mortgage Credit Availability and Residential Construction [J]. Brookings Papers on Economic Activity,1979,1979(21979):333-386
[24]LeRoy, S. F. Mortgage Valuation Under Optimal Prepayment [J]. The Review of Financial Studies ,1996,9(3Autumn,1996):817-844
[25]Kesson, F.& Lehoczky, J. P. Path Generation for Quasi-Monte Carlo Simulation of Mortgage-Backed Securities [J]. Management Science Stochastic Models and Simulation,2000,46 (9 Sep.,2000):1171-1187
[26]刘疆.个人住房抵押贷款提前还款风险实证研究[D],西南财经大学,2007
[27]王静.结合次级债危机分析我国住房抵押贷款证券化的发展[D],西南财经大学,2008
[28]游丹.我国住房抵押贷款证券化的风险及其防范[D],西南财经大学,2008
[29]刘志霞.美国次贷危机及其对我国的启示[D],天津财经大学,2009
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