住房抵押贷款证券化模式选择与MBS定价研究
|
摘要
住房抵押贷款证券化是近30年来最重要的金融创新之一,对它的研究一直是金融领域的热点问题。2005年末中国住房抵押贷款证券化试点工作正式启动,加强对该领域相关问题的研究无疑具有重要的理论价值和现实意义。
本文首先对住房抵押贷款证券化的基本原理加以研究,分析了资产证券化的内涵、资产证券化和住房抵押贷款证券化的关系、住房抵押贷款的主要类型、住房抵押贷款化的运作流程及其主要的优缺点。
接着,本文对住房抵押贷款证券化的主要类型及其现金流问题进行了分析,并对影响住房抵押贷款证券化定价模型设定的两个主要因素,即利率期限结构模型和提前清偿预测模型进行了重点探讨。
第三,本文对美国、加拿大、香港、英国、德国和澳大利亚住房抵押贷款证券化的具体运作模式加以分析和对比,将其规类为政府主导型的表外模式、市场主导型的表外模式、以及表内模式。在此基础上,本文研究得出结论:住房抵押贷款证券化模式的选择主要决定于证券化的最终目的,市场的发育状况、市场组织结构、所处的历史环境也对其有一定影响,中国住房抵押贷款证券化模式的选择应该由它的最终目的和市场的客观条件所决定。
第四,本文探究了中国住房抵押贷款证券化应当采取何种模式及其结构设计问题。从宏观经济环境、住房抵押贷款市场环境和法律制度环境来看,中国已具备实施住房抵押贷款证券化的基本条件。通过分析各种住房抵押贷款证券化建议模式的优劣,本文指出以表内模式实施证券化无法解决目前中国银行业亟待解决的一个重要问题:分散银行的信贷风险,提高银行的竞争力。在中国开展证券化,表内模式并不合适。进一步,本文在分析中国建设银行住房抵押贷款证券化试点模式的基础上,指出该模式存在的3个方面的不足,即政府信用无法引入、对资产池中抵押贷款质量的监管缺位以及由财产信托模式所造成的证券化成本较高。针对以上这些不足并立足于中国现有的证券化法律框架和实施证券化的目标,本文提出可以构建基于信托的半政府半市场型证券化模式,采取财产信托和资金信托并举的方式来加以解决。在这一模式下,本文对中国住房抵押证券化流程、参与的主体和采取发行的证券化品种进行了详细设计。
最后,本文构建了中国住房抵押贷款借款人提前清偿率预测模型,并将该模型与Hull-White模型整合在一起,利用扩展后的向前归纳法解决了过手证券、固定利率和浮动利率型转付证券的定价问题。研究发现,以内生模型来预测中国住房抵押贷款借款人提前清偿行为几乎不具有解释能力,以外生模型来预测借款人提前清偿行为是现有市场条件的现实选择;本文构建的定价模型不仅能够解决过手证券的定价问题,固定利率和浮动利率型的转付证券也能够很便捷的加以定价;住房抵押贷款证券化是一类典型的路径依赖型证券,本文提出了一种新的扩展后的向前归纳法来解决路径依赖型证券的定价问题;在对住房抵押贷款证券化定价模型进行敏感性分析的基础上,研究发现提前清偿模型的参数设置对住房抵押贷款证券化的定价结果有重要影响,其中尤以资产池的最低平均提前清偿率最为重要。对期限结构模型而言,模型的输入参数对转付证券中处于较高层次证券的价格影响较小,但对处于较低层次的证券有一定影响。
本文无论在理论上还是在实证分析中,都作出了一定创新。同时,本文的研究结果对投资者和金融监管当局都具有一定的实际指导作用。
Mortgage securitization is the most important financial innovation during the past thirty years; the research on this topic is always a basic research in finance field. With the introduction of the mortgage securitization of China in 2005, it is very urgent and significant to speed up the research on the mortgage securitization.
In this dissertation, firstly the author studies the basic principles of the mortgage securitization, analyses the connotation of the asset securitization and the connections between the asset securitization and mortgage securitization, the main categories of the mortgages and the operation of the mortgage securitization and the merits and flaws of it.
Then, the author analyses the main categories and the cash flows of the mortgage backed security (MBS). Two main factors, i.e. the term structure of interest rate model and the prepayment model, which influence the pricing models of the MBS are also researched.
Thirdly, the author makes some analysis and comparisons among the operation patterns of U.S, Canada, Hong Kong, England, Germany, and Australia. These patterns are categorized into the out of balance sheet pattern with governmental dominance, the out of balance sheet pattern with commercial dominance, the in balance sheet pattern. On the basis of the analysis, the author finds that the choice of the operation pattern of the mortgage securitization is mainly decided by the ultimate objective and external environments.
Fourthly, the author studies the pattern choice and the structure design of the mortgage securitization of China. From the perspectives of the micro economic environment, the market conditions of the mortgage and the institutional environment of the law, China has possessed the basic conditions of mortgage securitization. After the analysis of the merits and flaws of the proposed patterns during past years, the author points out that the in balance sheet pattern can not solve the urgent problem, i.e. the separation of the credit risks of the banking system, the promotion of the competitive abilities of the banking system. It’s improper to activate the mortgage securitization with the in balance sheet pattern in China. On the basis of the analysis of the operational pattern of the mortgage securitization of the China Construction Bank, the author points out the three flaws, i.e. the non-introduction of the governmental credit, the absence of the supervision and the high cost of the securitization, and puts forward a securitization pattern with semi-government and semi-market style and proposes that the capital trust should be incorporated with the asset trust in the securitization process. Under this pattern, the process and the main body of the mortgage securitization and the breeds of the MBS are also been designed.
At the last part, the author constructs the pricing model of the MBS of China, which incorporated the prepayment model of the borrowers and the Hull-White model. The extended forward induction method is proposed to solve the pricing problems of the pass through, the fixed rate collateral mortgage obligations (CMOs) and the floating rate CMOs. After the empirical study, the author finds that it is proper to use the exogenous prepayment model to forecast the prepayment rate of the borrowers and the endogenetic prepayment model has little ability to explain the prepayment behavior of the Chinese borrowers of the mortgage. The pricing model can not only solve the pricing problems of the pass through, but also the fixed rate CMOs and floating rate CMOs. MBS is a kind of path dependent security; the extended forward induction method proposed in this dissertation can solve the pricing problems of the path dependent security. After the sensitivity analysis of the pricing model, the author finds that the parameters of the prepayment have great impact to the pricing results. As to the term structure model, the parameters have little impact to the pricing results of the higher tranches of the CMO, but have some impact to the lower tranches.
In all, this dissertation makes some innovations not only in the theoretical analysis, but also in the empirical part. The findings will have some practical usefulness to the investors and supervisory authority.
本文首先对住房抵押贷款证券化的基本原理加以研究,分析了资产证券化的内涵、资产证券化和住房抵押贷款证券化的关系、住房抵押贷款的主要类型、住房抵押贷款化的运作流程及其主要的优缺点。
接着,本文对住房抵押贷款证券化的主要类型及其现金流问题进行了分析,并对影响住房抵押贷款证券化定价模型设定的两个主要因素,即利率期限结构模型和提前清偿预测模型进行了重点探讨。
第三,本文对美国、加拿大、香港、英国、德国和澳大利亚住房抵押贷款证券化的具体运作模式加以分析和对比,将其规类为政府主导型的表外模式、市场主导型的表外模式、以及表内模式。在此基础上,本文研究得出结论:住房抵押贷款证券化模式的选择主要决定于证券化的最终目的,市场的发育状况、市场组织结构、所处的历史环境也对其有一定影响,中国住房抵押贷款证券化模式的选择应该由它的最终目的和市场的客观条件所决定。
第四,本文探究了中国住房抵押贷款证券化应当采取何种模式及其结构设计问题。从宏观经济环境、住房抵押贷款市场环境和法律制度环境来看,中国已具备实施住房抵押贷款证券化的基本条件。通过分析各种住房抵押贷款证券化建议模式的优劣,本文指出以表内模式实施证券化无法解决目前中国银行业亟待解决的一个重要问题:分散银行的信贷风险,提高银行的竞争力。在中国开展证券化,表内模式并不合适。进一步,本文在分析中国建设银行住房抵押贷款证券化试点模式的基础上,指出该模式存在的3个方面的不足,即政府信用无法引入、对资产池中抵押贷款质量的监管缺位以及由财产信托模式所造成的证券化成本较高。针对以上这些不足并立足于中国现有的证券化法律框架和实施证券化的目标,本文提出可以构建基于信托的半政府半市场型证券化模式,采取财产信托和资金信托并举的方式来加以解决。在这一模式下,本文对中国住房抵押证券化流程、参与的主体和采取发行的证券化品种进行了详细设计。
最后,本文构建了中国住房抵押贷款借款人提前清偿率预测模型,并将该模型与Hull-White模型整合在一起,利用扩展后的向前归纳法解决了过手证券、固定利率和浮动利率型转付证券的定价问题。研究发现,以内生模型来预测中国住房抵押贷款借款人提前清偿行为几乎不具有解释能力,以外生模型来预测借款人提前清偿行为是现有市场条件的现实选择;本文构建的定价模型不仅能够解决过手证券的定价问题,固定利率和浮动利率型的转付证券也能够很便捷的加以定价;住房抵押贷款证券化是一类典型的路径依赖型证券,本文提出了一种新的扩展后的向前归纳法来解决路径依赖型证券的定价问题;在对住房抵押贷款证券化定价模型进行敏感性分析的基础上,研究发现提前清偿模型的参数设置对住房抵押贷款证券化的定价结果有重要影响,其中尤以资产池的最低平均提前清偿率最为重要。对期限结构模型而言,模型的输入参数对转付证券中处于较高层次证券的价格影响较小,但对处于较低层次的证券有一定影响。
本文无论在理论上还是在实证分析中,都作出了一定创新。同时,本文的研究结果对投资者和金融监管当局都具有一定的实际指导作用。
Mortgage securitization is the most important financial innovation during the past thirty years; the research on this topic is always a basic research in finance field. With the introduction of the mortgage securitization of China in 2005, it is very urgent and significant to speed up the research on the mortgage securitization.
In this dissertation, firstly the author studies the basic principles of the mortgage securitization, analyses the connotation of the asset securitization and the connections between the asset securitization and mortgage securitization, the main categories of the mortgages and the operation of the mortgage securitization and the merits and flaws of it.
Then, the author analyses the main categories and the cash flows of the mortgage backed security (MBS). Two main factors, i.e. the term structure of interest rate model and the prepayment model, which influence the pricing models of the MBS are also researched.
Thirdly, the author makes some analysis and comparisons among the operation patterns of U.S, Canada, Hong Kong, England, Germany, and Australia. These patterns are categorized into the out of balance sheet pattern with governmental dominance, the out of balance sheet pattern with commercial dominance, the in balance sheet pattern. On the basis of the analysis, the author finds that the choice of the operation pattern of the mortgage securitization is mainly decided by the ultimate objective and external environments.
Fourthly, the author studies the pattern choice and the structure design of the mortgage securitization of China. From the perspectives of the micro economic environment, the market conditions of the mortgage and the institutional environment of the law, China has possessed the basic conditions of mortgage securitization. After the analysis of the merits and flaws of the proposed patterns during past years, the author points out that the in balance sheet pattern can not solve the urgent problem, i.e. the separation of the credit risks of the banking system, the promotion of the competitive abilities of the banking system. It’s improper to activate the mortgage securitization with the in balance sheet pattern in China. On the basis of the analysis of the operational pattern of the mortgage securitization of the China Construction Bank, the author points out the three flaws, i.e. the non-introduction of the governmental credit, the absence of the supervision and the high cost of the securitization, and puts forward a securitization pattern with semi-government and semi-market style and proposes that the capital trust should be incorporated with the asset trust in the securitization process. Under this pattern, the process and the main body of the mortgage securitization and the breeds of the MBS are also been designed.
At the last part, the author constructs the pricing model of the MBS of China, which incorporated the prepayment model of the borrowers and the Hull-White model. The extended forward induction method is proposed to solve the pricing problems of the pass through, the fixed rate collateral mortgage obligations (CMOs) and the floating rate CMOs. After the empirical study, the author finds that it is proper to use the exogenous prepayment model to forecast the prepayment rate of the borrowers and the endogenetic prepayment model has little ability to explain the prepayment behavior of the Chinese borrowers of the mortgage. The pricing model can not only solve the pricing problems of the pass through, but also the fixed rate CMOs and floating rate CMOs. MBS is a kind of path dependent security; the extended forward induction method proposed in this dissertation can solve the pricing problems of the path dependent security. After the sensitivity analysis of the pricing model, the author finds that the parameters of the prepayment have great impact to the pricing results. As to the term structure model, the parameters have little impact to the pricing results of the higher tranches of the CMO, but have some impact to the lower tranches.
In all, this dissertation makes some innovations not only in the theoretical analysis, but also in the empirical part. The findings will have some practical usefulness to the investors and supervisory authority.
引文
[1] Kendall L T, Fishman M J. A Primer on securitization. Cambridge: MIT press, 2000: 10-11
[2] Fabozzi F J. Bond markets analysis and strategies(fourth edition). New York: Prentice Hall, 2000: 232-233
[3] 于凤坤. 资产证券化:理论与实务. 北京: 北京大学出版社, 2002:3-4
[4] 张超英, 翟祥辉. 资产证券化——原理、实务、实例. 北京: 经济科学出版社, 1998: 3-5
[5] 黄嵩. 论广义资产证券化的理论体系. 学习与探索, 2003,(3):96-73
[6] 涂永红, 刘柏荣. 银行信贷资产证券化. 北京: 中国金融出版社, 2000: 8-10
[7] Bhattacharya A K, Fabozzi F J. Asset-backed securities. New York: Frank J Fabozzi Associates, 1996: 5-6
[8] 姚长辉. 中国住房抵押贷款证券创新研究. 北京: 北京大学出版社, 2001: 50-52
[9] Hu J. Basics of mortgage-backed securities (second edition). New York: John Wiley & Son, 2001: 10-12
[10] 郑毅. 房地产抵押贷款证券化研究[湖南大学博士学位论文]. 长沙: 湖南大学工商管理学院, 2006: 82-83
[11] 宾融. 住房抵押贷款证券化机制与实证分析[中国社会科学院博士学位论文]. 北京: 中国社会科学院研究生院, 2001: 27-32
[12] 徐劲. 我国住房抵押贷款证券化及其模式选择研究[东南大学硕士学位论文]. 南京: 东南大学管理学院, 2002:23-26
[13] 穆迪中国. 评级标准. http://www.moodysasia.com/popup.aspx?section=rs&templ ate= rating definitions&mdcsId=11, 2006,(02):23
[14] Standard&Poors. Rating standard. http://www2.standar dandpoors.com/portal/site /sp/cn/cn/ page.cat egory/ ratings/html, 2005,(01):6
[15] 付敏. 我国资产证券化问题讨论综述. 经济理论与经济管理, 2006, (4): 75-79
[16] 于长秋, 李强. 美英日等国住房抵押贷款证券化的比较及启示. 中国房地产金融, 2002, (10): 43-47
[17] 刘铁明, 应红. 美加港住房抵押贷款证券化之比较研究及借鉴意义. 投资研究, 2001, (12): 8-13
[18] 刘松梅, 张艺. 论信托. 徐州工程学院学报, 2005, 20(4): 30-33
[19] 盖永光. 浅析运用信托模式解决资产证券化问题. 济南金融, 2005, (2): 21-26
[20] 熊进光. 房地产抵押贷款证券化的法律架构. 甘肃社会科学, 2005, (2): 237- 241
[21] 彭熙海. 我国住房抵押贷款证券化的主要法律障碍及对策. 湖北社会科学, 2005, (4): 88-90
[22] 王光友. 论我国 SPV 的设立模式. 国际金融研究, 2001, (12): 42-51
[23] 郑思齐, 李文诞, 刘洪玉. 住房抵押贷款表内证券化和表外证券化的比较研究. 中国房地产金融, 2003, (8): 10-14
[24] Fabozzi F J. The handbook of fixed income securities (fifth edition). New York: Irwin Professional Publishing, 1997: 34-38
[25] 唐文进, 陈勇. 住房抵押贷款定价模型与数值分析. 数量经济技术经济研究, 2006, (3): 58-66
[26] 陈建明. 银行业务中提前还款的经济学分析─谈抵押贷款的隐含性选择权. 华东经济管理, 2004, 18(6): 173-175
[27] 谢赤, 谈文胜. 住房抵押贷款支持证券定价方法研究. 消费经济, 2006, (10): 34-40
[28] 窦晓飞. 我国住房抵押贷款证券的定价研究[中南大学硕士学位论文]. 长沙: 中南大学商学院, 2004: 30-32
[29] 王化争, 谈俊琦. 住房抵押贷款证券化模式比较及启示. 数量经济技术经济研究, 2005, (4): 156-161
[30] Carron A S. Understanding CMOS, REMICS and other mortgage derivatives. Journal of fixed income, 1992, (2): 25-43
[31] Richard J R. Prepayment assumptions and REMIC tranche pricing. Journal of fixed income, 1993, (3):80-94
[32] Childs P D, Ott, S H, Riddiough T J. The pricing of multiclass commercial mortgage-backed securities. Journal of financial and quantitative analysis, 1996, 31(4): 581-603
[33] McConnel J J. Singh M. Valuation and analysis of collateralized mortgage obligations. Management Science, 1993, 39(6): 692-709
[34] Jorion P. Financial risk manager handbook(second edition). New York: Wiley, 2003: 82-83
[35] 陈钊. 住房抵押贷款提前还款行为分析. 上海金融, 2001, (1): 25-27
[36] Dunn K B, McConnell J. Valuation of GNMA mortgage-backed securities. Journal of Finance, 1981, 36(3): 599-617
[37] Stanton R. Rational prepayment and the valuation of mortgage-backed securities. Review of Financial Studies, 1995, 8(3): 677-708
[38] Brennan M J, Schwartz E S. Determinants of GNMA mortgage prices. AREUEA Journal, 1985, 13(3): 209-228
[39] Boudoukh J, Whitelaw R, Richardon M, Stanton R. Pricing mortgage backed securities in a multifactor interest rate environment: A multivariate density estimation approach. Review of Financial Studies, 1997, 10(2): 405-446
[40] Calhoun C A, Deng Y H. A dynamic analysis of fixed and adjustable rate mortgage terminations. Journal of Real Estate Finance and Economics, 2002, 24(1): 9-33
[41] Kau J B, Kennan D. An overview of the option theoretic pricing of mortgages. Journal of Housing Research, 1995, 6(2): 217-244
[42] Schwartz E S, Torous W N. Prepayment and the valuation of mortgage-backed securities. Journal of Finance, 1989, 44(2): 375-392
[43] Cox D R. Regression models and life-tables. Journal of the Royal Statistical Society Series B, 1972, 34(2): 187-220
[44] Kang P, Zenios S A. Complete prepayment models for mortgage backed securities. Management Science, 2005, 38(11): 1665-1685
[45] Downing C, Stanton R, Wallace N. An empirical test of a two factor mortgage valuation models: How much do house prices matter. Real Estate Economics, 2005, 33(4): 681-710
[46] 陈颖, 屠梅曾. 国外住房抵押贷款证券支持证券定价理论的方法研究. 中国房地产金融, 2004, (9): 43-46
[47] 陈柏东. 住房抵押贷款支撑证券定价方法研究. 中南财经政法大学学报, 2005, (2): 40-46
[48] 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, 2002, (4): 348-352
[49] Black F, Scholes M. The pricing of option and corporate liabilities. Journal of Political Economy, 1973, (81): 637-659
[50] Cox J C, Ingersoll J E, Ross S A. A theory of the term structure of interest rates. Econometrica, 1985, 53(2): 385-407
[51] Brennan M J, Schwartz E S. A continuous time approach to the pricing of bonds. Journal of Banking and Finance, 1979, 3(3): 133-155
[52] Ross S A. The arbitrage theory of capital asset pricing. Journal of Economic Theory, 1976, 13(2): 341-360
[53] Merton R C. An intertemporal capital asset pricing model. Econometrica, 1973, 41(5): 867-887
[54] Vasicek O. An equilibrium characterization of the term structure. Journal ofFinancial Economics, 1977, 5(2): 177-188
[55] Dothan L U. On the term structure of interest rate. Journal of Financial Economics, 1978, (6): 59-69
[56] Chan K C, Karolyi G A, Longstaff F A, et al. An empirical comparison of alternative models of the short-term interest rate. Journal of Finance, 1992, 47(1): 1209-1227
[57] Constantinides G M. A theory of the nominal term structure of interest rates. Review of Financial Studies, 1992, 5(4): 531-552
[58] Longstaff F A, Schwartz E S. Interest rate volatility and the term structure: a two- factor general equilibrium model. Journal of Finance, 1992, 47(4): 1259-1282
[59] Duffie D, Kan R. A yield-factor model of interest rates. Mathematical Finance, 1996, 6(4): 379-406
[60] Ho T, Lee S. Term structure movements and pricing interest rate contingent claims. Journal of Finance, 1986, 41(8): 1011-1028
[61] Hull J, White A. One-Factor interest rate models and the valuation of interest rate derivative securities. Journal of Financial and Quantitative Analysis, 1993, 28(2): 235-253
[62] Heath D, Jarrow R, Morton A. Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation. Econometrica, 1992, 60(1): 77-105
[63] Black F, Derman E, Toy W. A one factor model of interest rates and its application to treasury bond options. Financial Analysts Journal, 1990, 46(1): 33-39
[64] Black F, Karasinski P. Bond and option pricing when short rates are lognormal. Financial Analysts Journal, 1991, 47(4): 52-59
[65] 陈晖. 利率期限结构的最优估计及其应用研究[湖南大学博士学位论文]. 长沙:湖南大学工商管理学院, 2006: 43-44
[66] Cox J C, Ross S A, Rubinstein M. Option pricing: a simplified approach. Journal of Financial Economics, 1979, (7): 229-263
[67] Jamshidian F. An exact bond option formula. Journal of Finance, 1989, 44(1): 205- 209
[68] Kau B, Keenan D C, Walter J M, Epperson J F. Rational pricing of adjustable rate mortgages. AREUEA, 1985, 13(3): 117-127
[69] Buser A S, Hendershotter P H. Pricing life of load rate caps on default-free adjustable rate mortgages. AREUEA, 1985, 13(3): 248-260
[70] Archer W R, Ling D C. Pricing mortgage-backed securities: Integrating optimalcall and empirical models of prepayment. AREUEA, 1993, 21(2): 373-404
[71] Deng Y H, Quiley J M, Order R V. Mortgage terminations heterogeneity and the exercise of mortgage options. Econometrica, 2000, 68(2): 273-307
[72] Green J, Shoven J B. The effects of interest rates on mortgage prepayments. Journal of money, credit and banking, 1986, 18(2): 41-59
[73] Richard S F, Roll R. Prepayments on fixed rate mortgage-backed securities. Journal of portfolio management, 1989, 15(3): 73-79
[74] Zorn M P, Lea M J. Mortgage borrower prepayment behavior: A microeconomic analysis with Canadian adjustable rate mortgage data. AREUEA, 1985, 17(1): 118- 135
[75] Clark L M, Michael L L. Applied nonparametric regression techniques: Estimating prepayments on fixed rate mortgage-back securities. Journal of real estate finance and economics, 2001, 23(2): 139-160
[76] Jegadeesh N, Ju X W. A non-parametric prepayment model and valuation of mortgage-backed securities. Journal of fixed income, 2000, 10(1): 50-67
[77] 中国建设银行住房抵押贷款证券化课题组. 赴美国、加拿大、香港考察住房抵押贷款证券化的报告. 中国房地产金融, 2000,(1):43-46
[78] 中国建设银行住房抵押贷款证券化课题组. 赴美国、加拿大、香港考察住房抵押贷款证券化的报告(续). 中国房地产金融, 2000, (2): 43-45
[79] 叶凌风. 香港资产证券化的经验借鉴. 北京工商大学学报社会科学版, 2005, 20(5): 7-11.
[80] 刘晖. 住房抵押贷款证券化的国际比较. 国际金融研究, 2000, (10): 58-64
[81] 吴显亭, 马贱阳. 资产证券化的国际实践和中国的发展选择. 中国金融, 2006, (2): 21-23
[82] Bond market association. http://www.bondmarkets.com/category.asp?catid=9& image=mbsabs, 2006,(10):20
[83] 赵宇霆. 资产证券化 SPV 设立的法律思考. 当代法学, 2004, 18(5): 65-70
[84] 詹朝曦, 张退之, 毛茂松. 国住房融资机制与新、德、美模式比较. 企业经济, 2002, (12): 14-19
[85] 中华人民共和国统计局. 中国统计年鉴 2005. 北京: 中国统计出版社, 2005: 31-32
[86] 中国金融统计年鉴编辑部. 中国金融年鉴 2005. 北京: 中国金融出版社, 2005: 78-79
[87] 中信信托投资公司. 建元. 2005-1 个人住房抵押贷款证券化信托发行说明书, 2005, (5): 6-7
[88] 孙飞, 孙立. 中国信托业 2005 年发展回顾与 2006 年展望. http://www.dss. gov. cn/Article_Print.asp?ArticleID=212912, 2006,(04):19
[89] 中国人民银行, 中国银监会. 信贷资产证券化试点管理办法. http://www. pbc. gov. cn/detailframe.asp?col=100&id=1463 &keyword=信贷资产证券化试点管理办法&isFromDetail=1, 2005, (04):22
[90] 中国建设部. 关于个人住房抵押贷款证券化涉及的抵押权变更登记有关问题的试行通知. http://www.cin.gov.cn/INDUS/FILE/2005090101.htm, 2005,(05):16
[91] 中国财政部. 信贷资产证券化试点会计处理规定. http://www.mof.gov.cn/news/ 20051011_ 2124_9253.htm, 2005, (05):16
[92] 中国人民银行. 资产支持证券信息披露规则. http://www.pbc.gov.cn/ detail_ frame.asp?col=100&id=1527&keyword=资产支持证券信息披露规则&isFrom Detail=1, 2005,(06):17
[93] 中国银监会. 金融机构信贷资产证券化监督管理办法. http://www.cbrc.gov.cn/ mod_cn00/ jsp/cn004002.jsp?infoID=1723&type=1, 2005,(09):29
[94] 中国财政部, 中国税务总局. 关于信贷资产证券化有关税收政策问题的通知. http://www.chinatax.gov.cn/view.jsp?code=200602271251055719, 2006,(02):20
[95] 中国证监会. 关于证券投资基金投资资产支持证券有关事项的通知. http:// www.csrc.gov.cn/cn/search/search_detail.jsp?infoid=1164354797100&type=CMS.STD, 2006,(05):14
[96] 韩海平, 黄沁, 方兆本. 基于信托结构的住房抵押贷款证券化模式研究. 预测, 2003, 22(5): 46-48
[97] 苗纪江, 武霞. 利用信托模式作为国内发展资产证券化突破模式的可行性. 石家庄经济学院学报, 2005, 28(2): 213-217
[98] 周明,陈柳钦. 信托模式—我国资产证券化发展模式的现实选择. 经济前沿, 2004, (6): 50-53
[99] Hull J, White A. Numerical procedures for implementing term structure models I. Journal of Derivatives, 1994, (3): 7-16
[100] Hull J, White A. Numerical procedures for implementing term structure models Ⅱ. Journal of Derivatives, 1994, (4): 37-48
[101] Hull J, White A. The general HullWhite model and supercalibration. Financial Analysts Journal, 2001, 57(6): 34-43
[102] Hull J, White A. Using Hull-White interest rate trees. Journal of Derivatives, 1996, (1): 26-36
[103] Hull J. Option, futures and other derivatives(fifth edition). New York: Prentice Hall, 2000: 96-98
[104] Hull J, White A. Efficient procedures for valuing European and American path dependent options. Jouanl of Derivative, 1993, 1(1): 21-31
[105] Boyle P, Broadie M, Glasserman P. Monte Carlo methods for security pricing. Journal of Economic Dynamic Control, 1997, 21(4): 1267-1321
[106] Dharan V G. Pricing path-dependent interest rate contingent claims using a lattice. Journal of Fixed Income, 1997, (1): 40-49
[107] McCulloch J H. Measuring the term structure of interest rates. Journal of Business, 1971, 44(1): 19-31
[108] McCulloch J H. The Tax Adjusted Yield Curve. Journal of Finance, 1975, 30(8): 811-830
[109] Vasicek O. Fong H G. Term structure modeling using exponential splines. Journal of Finance, 1982, 37(3): 339-356
[110] Steeley J M. Estimating the gilt-edged term structure basis splines and confidence intervals. Journal of Business and Financial Account, 1991, 18(5): 513-529
[111] Lin B H. Fitting the term structure of interest rates for Taiwanese government bonds. Journal of Multinational Financial Management, 1999, (9): 331-352
[112] Bliss R. Testing term structure estimation models. Advances in Futures and Option Research, 1997, (9): 197-231
[113] Nelson C, Siegel A. Parsimonious modeling of yield curves. Journal of Business, 1987, 60(4): 473-489
[114] Svensson E O. Estimating Forward Interest Rates with the Extended Nelson and Siegel Method. Quarterly Review, 1995, 3(1): 13-26
[2] Fabozzi F J. Bond markets analysis and strategies(fourth edition). New York: Prentice Hall, 2000: 232-233
[3] 于凤坤. 资产证券化:理论与实务. 北京: 北京大学出版社, 2002:3-4
[4] 张超英, 翟祥辉. 资产证券化——原理、实务、实例. 北京: 经济科学出版社, 1998: 3-5
[5] 黄嵩. 论广义资产证券化的理论体系. 学习与探索, 2003,(3):96-73
[6] 涂永红, 刘柏荣. 银行信贷资产证券化. 北京: 中国金融出版社, 2000: 8-10
[7] Bhattacharya A K, Fabozzi F J. Asset-backed securities. New York: Frank J Fabozzi Associates, 1996: 5-6
[8] 姚长辉. 中国住房抵押贷款证券创新研究. 北京: 北京大学出版社, 2001: 50-52
[9] Hu J. Basics of mortgage-backed securities (second edition). New York: John Wiley & Son, 2001: 10-12
[10] 郑毅. 房地产抵押贷款证券化研究[湖南大学博士学位论文]. 长沙: 湖南大学工商管理学院, 2006: 82-83
[11] 宾融. 住房抵押贷款证券化机制与实证分析[中国社会科学院博士学位论文]. 北京: 中国社会科学院研究生院, 2001: 27-32
[12] 徐劲. 我国住房抵押贷款证券化及其模式选择研究[东南大学硕士学位论文]. 南京: 东南大学管理学院, 2002:23-26
[13] 穆迪中国. 评级标准. http://www.moodysasia.com/popup.aspx?section=rs&templ ate= rating definitions&mdcsId=11, 2006,(02):23
[14] Standard&Poors. Rating standard. http://www2.standar dandpoors.com/portal/site /sp/cn/cn/ page.cat egory/ ratings/html, 2005,(01):6
[15] 付敏. 我国资产证券化问题讨论综述. 经济理论与经济管理, 2006, (4): 75-79
[16] 于长秋, 李强. 美英日等国住房抵押贷款证券化的比较及启示. 中国房地产金融, 2002, (10): 43-47
[17] 刘铁明, 应红. 美加港住房抵押贷款证券化之比较研究及借鉴意义. 投资研究, 2001, (12): 8-13
[18] 刘松梅, 张艺. 论信托. 徐州工程学院学报, 2005, 20(4): 30-33
[19] 盖永光. 浅析运用信托模式解决资产证券化问题. 济南金融, 2005, (2): 21-26
[20] 熊进光. 房地产抵押贷款证券化的法律架构. 甘肃社会科学, 2005, (2): 237- 241
[21] 彭熙海. 我国住房抵押贷款证券化的主要法律障碍及对策. 湖北社会科学, 2005, (4): 88-90
[22] 王光友. 论我国 SPV 的设立模式. 国际金融研究, 2001, (12): 42-51
[23] 郑思齐, 李文诞, 刘洪玉. 住房抵押贷款表内证券化和表外证券化的比较研究. 中国房地产金融, 2003, (8): 10-14
[24] Fabozzi F J. The handbook of fixed income securities (fifth edition). New York: Irwin Professional Publishing, 1997: 34-38
[25] 唐文进, 陈勇. 住房抵押贷款定价模型与数值分析. 数量经济技术经济研究, 2006, (3): 58-66
[26] 陈建明. 银行业务中提前还款的经济学分析─谈抵押贷款的隐含性选择权. 华东经济管理, 2004, 18(6): 173-175
[27] 谢赤, 谈文胜. 住房抵押贷款支持证券定价方法研究. 消费经济, 2006, (10): 34-40
[28] 窦晓飞. 我国住房抵押贷款证券的定价研究[中南大学硕士学位论文]. 长沙: 中南大学商学院, 2004: 30-32
[29] 王化争, 谈俊琦. 住房抵押贷款证券化模式比较及启示. 数量经济技术经济研究, 2005, (4): 156-161
[30] Carron A S. Understanding CMOS, REMICS and other mortgage derivatives. Journal of fixed income, 1992, (2): 25-43
[31] Richard J R. Prepayment assumptions and REMIC tranche pricing. Journal of fixed income, 1993, (3):80-94
[32] Childs P D, Ott, S H, Riddiough T J. The pricing of multiclass commercial mortgage-backed securities. Journal of financial and quantitative analysis, 1996, 31(4): 581-603
[33] McConnel J J. Singh M. Valuation and analysis of collateralized mortgage obligations. Management Science, 1993, 39(6): 692-709
[34] Jorion P. Financial risk manager handbook(second edition). New York: Wiley, 2003: 82-83
[35] 陈钊. 住房抵押贷款提前还款行为分析. 上海金融, 2001, (1): 25-27
[36] Dunn K B, McConnell J. Valuation of GNMA mortgage-backed securities. Journal of Finance, 1981, 36(3): 599-617
[37] Stanton R. Rational prepayment and the valuation of mortgage-backed securities. Review of Financial Studies, 1995, 8(3): 677-708
[38] Brennan M J, Schwartz E S. Determinants of GNMA mortgage prices. AREUEA Journal, 1985, 13(3): 209-228
[39] Boudoukh J, Whitelaw R, Richardon M, Stanton R. Pricing mortgage backed securities in a multifactor interest rate environment: A multivariate density estimation approach. Review of Financial Studies, 1997, 10(2): 405-446
[40] Calhoun C A, Deng Y H. A dynamic analysis of fixed and adjustable rate mortgage terminations. Journal of Real Estate Finance and Economics, 2002, 24(1): 9-33
[41] Kau J B, Kennan D. An overview of the option theoretic pricing of mortgages. Journal of Housing Research, 1995, 6(2): 217-244
[42] Schwartz E S, Torous W N. Prepayment and the valuation of mortgage-backed securities. Journal of Finance, 1989, 44(2): 375-392
[43] Cox D R. Regression models and life-tables. Journal of the Royal Statistical Society Series B, 1972, 34(2): 187-220
[44] Kang P, Zenios S A. Complete prepayment models for mortgage backed securities. Management Science, 2005, 38(11): 1665-1685
[45] Downing C, Stanton R, Wallace N. An empirical test of a two factor mortgage valuation models: How much do house prices matter. Real Estate Economics, 2005, 33(4): 681-710
[46] 陈颖, 屠梅曾. 国外住房抵押贷款证券支持证券定价理论的方法研究. 中国房地产金融, 2004, (9): 43-46
[47] 陈柏东. 住房抵押贷款支撑证券定价方法研究. 中南财经政法大学学报, 2005, (2): 40-46
[48] 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, 2002, (4): 348-352
[49] Black F, Scholes M. The pricing of option and corporate liabilities. Journal of Political Economy, 1973, (81): 637-659
[50] Cox J C, Ingersoll J E, Ross S A. A theory of the term structure of interest rates. Econometrica, 1985, 53(2): 385-407
[51] Brennan M J, Schwartz E S. A continuous time approach to the pricing of bonds. Journal of Banking and Finance, 1979, 3(3): 133-155
[52] Ross S A. The arbitrage theory of capital asset pricing. Journal of Economic Theory, 1976, 13(2): 341-360
[53] Merton R C. An intertemporal capital asset pricing model. Econometrica, 1973, 41(5): 867-887
[54] Vasicek O. An equilibrium characterization of the term structure. Journal ofFinancial Economics, 1977, 5(2): 177-188
[55] Dothan L U. On the term structure of interest rate. Journal of Financial Economics, 1978, (6): 59-69
[56] Chan K C, Karolyi G A, Longstaff F A, et al. An empirical comparison of alternative models of the short-term interest rate. Journal of Finance, 1992, 47(1): 1209-1227
[57] Constantinides G M. A theory of the nominal term structure of interest rates. Review of Financial Studies, 1992, 5(4): 531-552
[58] Longstaff F A, Schwartz E S. Interest rate volatility and the term structure: a two- factor general equilibrium model. Journal of Finance, 1992, 47(4): 1259-1282
[59] Duffie D, Kan R. A yield-factor model of interest rates. Mathematical Finance, 1996, 6(4): 379-406
[60] Ho T, Lee S. Term structure movements and pricing interest rate contingent claims. Journal of Finance, 1986, 41(8): 1011-1028
[61] Hull J, White A. One-Factor interest rate models and the valuation of interest rate derivative securities. Journal of Financial and Quantitative Analysis, 1993, 28(2): 235-253
[62] Heath D, Jarrow R, Morton A. Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation. Econometrica, 1992, 60(1): 77-105
[63] Black F, Derman E, Toy W. A one factor model of interest rates and its application to treasury bond options. Financial Analysts Journal, 1990, 46(1): 33-39
[64] Black F, Karasinski P. Bond and option pricing when short rates are lognormal. Financial Analysts Journal, 1991, 47(4): 52-59
[65] 陈晖. 利率期限结构的最优估计及其应用研究[湖南大学博士学位论文]. 长沙:湖南大学工商管理学院, 2006: 43-44
[66] Cox J C, Ross S A, Rubinstein M. Option pricing: a simplified approach. Journal of Financial Economics, 1979, (7): 229-263
[67] Jamshidian F. An exact bond option formula. Journal of Finance, 1989, 44(1): 205- 209
[68] Kau B, Keenan D C, Walter J M, Epperson J F. Rational pricing of adjustable rate mortgages. AREUEA, 1985, 13(3): 117-127
[69] Buser A S, Hendershotter P H. Pricing life of load rate caps on default-free adjustable rate mortgages. AREUEA, 1985, 13(3): 248-260
[70] Archer W R, Ling D C. Pricing mortgage-backed securities: Integrating optimalcall and empirical models of prepayment. AREUEA, 1993, 21(2): 373-404
[71] Deng Y H, Quiley J M, Order R V. Mortgage terminations heterogeneity and the exercise of mortgage options. Econometrica, 2000, 68(2): 273-307
[72] Green J, Shoven J B. The effects of interest rates on mortgage prepayments. Journal of money, credit and banking, 1986, 18(2): 41-59
[73] Richard S F, Roll R. Prepayments on fixed rate mortgage-backed securities. Journal of portfolio management, 1989, 15(3): 73-79
[74] Zorn M P, Lea M J. Mortgage borrower prepayment behavior: A microeconomic analysis with Canadian adjustable rate mortgage data. AREUEA, 1985, 17(1): 118- 135
[75] Clark L M, Michael L L. Applied nonparametric regression techniques: Estimating prepayments on fixed rate mortgage-back securities. Journal of real estate finance and economics, 2001, 23(2): 139-160
[76] Jegadeesh N, Ju X W. A non-parametric prepayment model and valuation of mortgage-backed securities. Journal of fixed income, 2000, 10(1): 50-67
[77] 中国建设银行住房抵押贷款证券化课题组. 赴美国、加拿大、香港考察住房抵押贷款证券化的报告. 中国房地产金融, 2000,(1):43-46
[78] 中国建设银行住房抵押贷款证券化课题组. 赴美国、加拿大、香港考察住房抵押贷款证券化的报告(续). 中国房地产金融, 2000, (2): 43-45
[79] 叶凌风. 香港资产证券化的经验借鉴. 北京工商大学学报社会科学版, 2005, 20(5): 7-11.
[80] 刘晖. 住房抵押贷款证券化的国际比较. 国际金融研究, 2000, (10): 58-64
[81] 吴显亭, 马贱阳. 资产证券化的国际实践和中国的发展选择. 中国金融, 2006, (2): 21-23
[82] Bond market association. http://www.bondmarkets.com/category.asp?catid=9& image=mbsabs, 2006,(10):20
[83] 赵宇霆. 资产证券化 SPV 设立的法律思考. 当代法学, 2004, 18(5): 65-70
[84] 詹朝曦, 张退之, 毛茂松. 国住房融资机制与新、德、美模式比较. 企业经济, 2002, (12): 14-19
[85] 中华人民共和国统计局. 中国统计年鉴 2005. 北京: 中国统计出版社, 2005: 31-32
[86] 中国金融统计年鉴编辑部. 中国金融年鉴 2005. 北京: 中国金融出版社, 2005: 78-79
[87] 中信信托投资公司. 建元. 2005-1 个人住房抵押贷款证券化信托发行说明书, 2005, (5): 6-7
[88] 孙飞, 孙立. 中国信托业 2005 年发展回顾与 2006 年展望. http://www.dss. gov. cn/Article_Print.asp?ArticleID=212912, 2006,(04):19
[89] 中国人民银行, 中国银监会. 信贷资产证券化试点管理办法. http://www. pbc. gov. cn/detailframe.asp?col=100&id=1463 &keyword=信贷资产证券化试点管理办法&isFromDetail=1, 2005, (04):22
[90] 中国建设部. 关于个人住房抵押贷款证券化涉及的抵押权变更登记有关问题的试行通知. http://www.cin.gov.cn/INDUS/FILE/2005090101.htm, 2005,(05):16
[91] 中国财政部. 信贷资产证券化试点会计处理规定. http://www.mof.gov.cn/news/ 20051011_ 2124_9253.htm, 2005, (05):16
[92] 中国人民银行. 资产支持证券信息披露规则. http://www.pbc.gov.cn/ detail_ frame.asp?col=100&id=1527&keyword=资产支持证券信息披露规则&isFrom Detail=1, 2005,(06):17
[93] 中国银监会. 金融机构信贷资产证券化监督管理办法. http://www.cbrc.gov.cn/ mod_cn00/ jsp/cn004002.jsp?infoID=1723&type=1, 2005,(09):29
[94] 中国财政部, 中国税务总局. 关于信贷资产证券化有关税收政策问题的通知. http://www.chinatax.gov.cn/view.jsp?code=200602271251055719, 2006,(02):20
[95] 中国证监会. 关于证券投资基金投资资产支持证券有关事项的通知. http:// www.csrc.gov.cn/cn/search/search_detail.jsp?infoid=1164354797100&type=CMS.STD, 2006,(05):14
[96] 韩海平, 黄沁, 方兆本. 基于信托结构的住房抵押贷款证券化模式研究. 预测, 2003, 22(5): 46-48
[97] 苗纪江, 武霞. 利用信托模式作为国内发展资产证券化突破模式的可行性. 石家庄经济学院学报, 2005, 28(2): 213-217
[98] 周明,陈柳钦. 信托模式—我国资产证券化发展模式的现实选择. 经济前沿, 2004, (6): 50-53
[99] Hull J, White A. Numerical procedures for implementing term structure models I. Journal of Derivatives, 1994, (3): 7-16
[100] Hull J, White A. Numerical procedures for implementing term structure models Ⅱ. Journal of Derivatives, 1994, (4): 37-48
[101] Hull J, White A. The general HullWhite model and supercalibration. Financial Analysts Journal, 2001, 57(6): 34-43
[102] Hull J, White A. Using Hull-White interest rate trees. Journal of Derivatives, 1996, (1): 26-36
[103] Hull J. Option, futures and other derivatives(fifth edition). New York: Prentice Hall, 2000: 96-98
[104] Hull J, White A. Efficient procedures for valuing European and American path dependent options. Jouanl of Derivative, 1993, 1(1): 21-31
[105] Boyle P, Broadie M, Glasserman P. Monte Carlo methods for security pricing. Journal of Economic Dynamic Control, 1997, 21(4): 1267-1321
[106] Dharan V G. Pricing path-dependent interest rate contingent claims using a lattice. Journal of Fixed Income, 1997, (1): 40-49
[107] McCulloch J H. Measuring the term structure of interest rates. Journal of Business, 1971, 44(1): 19-31
[108] McCulloch J H. The Tax Adjusted Yield Curve. Journal of Finance, 1975, 30(8): 811-830
[109] Vasicek O. Fong H G. Term structure modeling using exponential splines. Journal of Finance, 1982, 37(3): 339-356
[110] Steeley J M. Estimating the gilt-edged term structure basis splines and confidence intervals. Journal of Business and Financial Account, 1991, 18(5): 513-529
[111] Lin B H. Fitting the term structure of interest rates for Taiwanese government bonds. Journal of Multinational Financial Management, 1999, (9): 331-352
[112] Bliss R. Testing term structure estimation models. Advances in Futures and Option Research, 1997, (9): 197-231
[113] Nelson C, Siegel A. Parsimonious modeling of yield curves. Journal of Business, 1987, 60(4): 473-489
[114] Svensson E O. Estimating Forward Interest Rates with the Extended Nelson and Siegel Method. Quarterly Review, 1995, 3(1): 13-26