我国住房抵押贷款证券化模式设计评价及定价研究
|
摘要
住房抵押贷款证券化作为近40年来世界金融领域的一个重大创新,既可以将其视作一种重要的金融工程技术,又可以看作一种金融工具。作为一种技术,住房抵押贷款证券化旨在对住房抵押贷款组成的资产池和现金流进行隔离处理和整合分解,创造出不同于资产池风险特征的新证券;作为一种金融工具,住房抵押贷款证券化可以丰富投资选择,增加金融交易数量,拓展金融交易的内容,重新配置金融资源,提高风险配置效率。
我国关于住房抵押贷款证券化的讨论开始于20世纪90年代。国有企业过高的负债与国有银行不良债务的矛盾构成宏观经济稳定的潜在风险,也成为我国经济与金融体制改革的一大障碍。随着住房抵押贷款证券化在美欧的快速发展,实施住房抵押贷款证券化成为我国理论界和实物界关注与深入思考的课题。了解住房抵押贷款证券化的基本原理,借鉴住房抵押贷款证券化的核心技术,具有十分重要的意义。MBS的定价问题是住房抵押贷款证券化的核心问题,定价合理与否直接决定我国MBS能否操作成功。
本文的第一章介绍了论文产生的背景、研究意义、住房抵押贷款证券化基本理论以及国内外在住房抵押贷款证券定价方面的研究成果。第二章提出了在我国现行的法律制度和经济条件的基础上,适合我国的住房抵押贷款证券化模式。第三章比较分析了几种MBS定价方法的优缺点。通过引入期权理论对住房抵押贷款证券进行定价,将住房抵押贷款证券未来现金流的风险转化为两个期权的价值,并援用Black-Scholes期权定价模型进行公式推导。第四章从现金流折现的角度对住房抵押贷款证券进行定价。用随机过程来直接描述提前偿付行为,模拟实际情况下的提前偿付风险。另外,用贷款划分的方法来将部分提前偿还转变为全部提前偿还,以及控制资产提前偿还风险。得出定价公式后,又给出了一个简单算例。最后是本文的总结及未来发展的展望。
Securitization of housing mortgage loans, as a great innovation in the financial industry in the recent 40 years can be viewed as not only an important financial engineering technique but a financial tool. As a kind of technique, securitization of housing mortgage loan aims at separating and integrating the assets pool and cash flow made of housing mortgage loans, and then creates new securities with risk feature different from assets pools. As a financial tool, securitization of housing mortgage loan can enrich investment choice, improve amounts of financial business, increase content of financial business, reallocate financial resources and improve efficiency of risk allocation.
Discussion of securitization of housing mortgage loan in our country began in 1990. High debt of stated-owned corporation and non-performing debt of stated -owned banks became the potential risk to the stabilization of macro economy and also a big obstacle to financial and economic system reform in our country. With the fast development of securitization of housing mortgage loan overseas, carrying out securitization of housing mortgage loan has become the hot point in both academy and practice fields. Therefore, it is meaningful to know the basic principle of securitization of housing mortgage and to use the core techniques of securitization of housing mortgage for reference. Pricing of MBS is the core of securitization of housing mortgage, whether the price is reasonable is directly related to the success of MBS in our country.
The first chapter introduces the background of this paper, the research meaning, the basic theories and research results in securitization of housing mortgage home and abroad. The second chapter, on the basis of current law system of our country and economic environment, puts forward the mode of securitization of housing mortgage suitable for our country. The third chapter analyzes and compares the strong points and shortcomings of several MBS pricing methods. It introduces option theory to price the housing mortgage securities and converts the risk of housing mortgage securities’future cash flow to two options value and uses Black-Scholes option pricing model to deduce the formula. The fourth chapter, from the view of cash flow discount, prices the housing mortgage security. It uses random process to depict the prepayment action directly and emulate the prepayment risk in reality. In addition, it uses loan classification method to convert the partial prepayment to entire prepayment and to control the prepayment risk. After getting the pricing formula, it also gives a simple case. At last, it concludes the whole paper and puts forward the expectation of future researches.
我国关于住房抵押贷款证券化的讨论开始于20世纪90年代。国有企业过高的负债与国有银行不良债务的矛盾构成宏观经济稳定的潜在风险,也成为我国经济与金融体制改革的一大障碍。随着住房抵押贷款证券化在美欧的快速发展,实施住房抵押贷款证券化成为我国理论界和实物界关注与深入思考的课题。了解住房抵押贷款证券化的基本原理,借鉴住房抵押贷款证券化的核心技术,具有十分重要的意义。MBS的定价问题是住房抵押贷款证券化的核心问题,定价合理与否直接决定我国MBS能否操作成功。
本文的第一章介绍了论文产生的背景、研究意义、住房抵押贷款证券化基本理论以及国内外在住房抵押贷款证券定价方面的研究成果。第二章提出了在我国现行的法律制度和经济条件的基础上,适合我国的住房抵押贷款证券化模式。第三章比较分析了几种MBS定价方法的优缺点。通过引入期权理论对住房抵押贷款证券进行定价,将住房抵押贷款证券未来现金流的风险转化为两个期权的价值,并援用Black-Scholes期权定价模型进行公式推导。第四章从现金流折现的角度对住房抵押贷款证券进行定价。用随机过程来直接描述提前偿付行为,模拟实际情况下的提前偿付风险。另外,用贷款划分的方法来将部分提前偿还转变为全部提前偿还,以及控制资产提前偿还风险。得出定价公式后,又给出了一个简单算例。最后是本文的总结及未来发展的展望。
Securitization of housing mortgage loans, as a great innovation in the financial industry in the recent 40 years can be viewed as not only an important financial engineering technique but a financial tool. As a kind of technique, securitization of housing mortgage loan aims at separating and integrating the assets pool and cash flow made of housing mortgage loans, and then creates new securities with risk feature different from assets pools. As a financial tool, securitization of housing mortgage loan can enrich investment choice, improve amounts of financial business, increase content of financial business, reallocate financial resources and improve efficiency of risk allocation.
Discussion of securitization of housing mortgage loan in our country began in 1990. High debt of stated-owned corporation and non-performing debt of stated -owned banks became the potential risk to the stabilization of macro economy and also a big obstacle to financial and economic system reform in our country. With the fast development of securitization of housing mortgage loan overseas, carrying out securitization of housing mortgage loan has become the hot point in both academy and practice fields. Therefore, it is meaningful to know the basic principle of securitization of housing mortgage and to use the core techniques of securitization of housing mortgage for reference. Pricing of MBS is the core of securitization of housing mortgage, whether the price is reasonable is directly related to the success of MBS in our country.
The first chapter introduces the background of this paper, the research meaning, the basic theories and research results in securitization of housing mortgage home and abroad. The second chapter, on the basis of current law system of our country and economic environment, puts forward the mode of securitization of housing mortgage suitable for our country. The third chapter analyzes and compares the strong points and shortcomings of several MBS pricing methods. It introduces option theory to price the housing mortgage securities and converts the risk of housing mortgage securities’future cash flow to two options value and uses Black-Scholes option pricing model to deduce the formula. The fourth chapter, from the view of cash flow discount, prices the housing mortgage security. It uses random process to depict the prepayment action directly and emulate the prepayment risk in reality. In addition, it uses loan classification method to convert the partial prepayment to entire prepayment and to control the prepayment risk. After getting the pricing formula, it also gives a simple case. At last, it concludes the whole paper and puts forward the expectation of future researches.
引文
[1] Dunn, K.B.and J.J. McConnell.A comparison of alternative models for pricing mortgage-backed securities. Journal of Finance.1981(36):471-483
[2] Cox,J.C., J.E.Ingersoll and S.A.Ross. A theory of term structure of interest rates. Econometrica 1985(53):386-407
[3] Kau, J.B. and D.C. Keenan. An overview of the option-theoretic pricing of mortgages. Journal of Housing Research.1995(6): 217-244.
[4] 张歌.论商业银行住房抵押贷款证券化.山东财政学院学报,2005(5):60-62
[5] 宋钢.住房抵押贷款证券化对银行和市场的影响.金融电子化,2006(4):39-41
[6] 衡丙权.对我国引入住房抵押贷款证券化的必要性和实现方式的分析.中国经济评论,2003(12):9-14
[7] 秦恩才.论信托结构的住房抵押贷款证券化.证券之窗,2005(9):59-62
[8] 杨涛.论住房抵押贷款证券化的金融效应.中国城市经济,2005(3):44-45
[9] 刘旭东.美国住房抵押贷款证券化的运作模式及其借鉴.商场现代化,2005(12):27-28
[10] 张东华.人民币升值压力对住房抵押贷款证券化的影响.青海金融,2004(12):31-32
[11] 朱玉林.商业银行住房抵押贷款证券化可行性研究.财经理论与实践,2005(11):41-44
[12] 胡智慧.推出住房抵押贷款证券化的时机选择.经济师,2003(5):35-36
[13] 艾毓斌,黎志成.推行住房抵押贷款证券化 构建住房抵押贷款二级市场,2004(2):63-65
[14] 王军,李建华.推行住房抵押贷款证券化值得商榷的几个问题.金融论坛,2004(7):12-14
[15] 涂国龙.我国住房抵押贷款证券化的模式比较和现实选择.郑州航空工业管理学院学报,2004(6):64-65
[16] 申韬.我国住房抵押贷款证券化发展探讨.改革与战略,2005(12):110-112
[17] 吕川,吴建环.我国住房抵押贷款证券化面临的主要问题及其对策.集团经济研究,2006(9):197-198
[18] 黄晓东.我国资产证券化的切入点分析——兼论住房抵押贷款证券化必要性.理论与现代化,2004(4):51-53
[19] 董芸.银证合作:住房抵押贷款证券化.云南金融,2003(8):33-35
[20] 苏群,邱翔宇.英美住房金融制度的比较与借鉴——兼谈缓行住房抵押贷款证券化.中国经济评论,2004(8):39-42
[21] 陈晓静.住房抵押贷款证券化:美、英和香港地区的实践与思考.亚太经济,2004(2):88-90
[22] 徐灿水.住房抵押贷款证券化策略.浙江金融,2004(5):28-29
[23] 刘艳玲.住房抵押贷款证券化的风险.上海房地产,2003(11):48-50
[24] 张启水.住房抵押贷款证券化的国际比较及对我国的启示.边疆经济与文化,2004(2):98-100
[25] 肖赞军.住房抵押贷款证券化经济效应.重庆工商大学学报(社会科学版),2003(12):25-27
[26] 陶美珍,陆韬玉.住房抵押贷款证券化的政府介入作用及借鉴.经济学研究,2003(11): 25-28
[27] 张云.住房抵押贷款证券化国际经验及对我国的借鉴.国际银行业,2004(2):22-26
[28] 王 军 武 , 田 莹 . 住 房 抵 押 贷 款 证 券 化 过 渡 模 式 研 究 . 武 汉 科 技 大 学 学 报,2005(11):154-157
[29] 杨浩.住房抵押贷款证券化中的税务问题.研究与探索,2005(9):14-18
[30] 刘传哲,史国庆.住房抵押贷款支 持 证券定 价模型发 展 与启示. 国际银行业,2006(9):24-29
[31] 刘宇鑫.对实物期权在房地产抵押贷款证券中应用的研究.科技与经济,2006(17):42-43
[32] 仪 垂 林 , 刘 玉 华 . 抵 押 贷 款 定 价 : 基 于 欧 式 期 权 定 价 的 研 究 . 产 业 经 济 研 究,2005(4):57-62
[33] 袁桂秋,姜礼尚,罗俊.固定支付利率的抵押贷款定价理论——限于在支付日提前支付或违约.系统工程理论与实践,2003(9):48-55
[34] 袁桂秋,丁正中.固定支付利率抵押贷款定价原理.高等应用数学学报,2004(3):353-362
[35] 曹国华,牟生洪.住房抵押贷款定价模型研究综述.系统工程学报,2006(6):305-311
[36] 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):58-65
[37] 王重润,曹振良.住房抵押贷款中的提前偿还风险分析.房地产金融,2002(7):51-53
[38] 淳于雅.我国住房抵押贷款证券 MBS 的定价研究:[硕士学位论文].成都:西南交通大学,2004
[39] 程厉行.住房抵押贷款证券定价研究:[硕士学位论文].重庆:重庆大学,2004
[40] 奚一宇.我国住房抵押贷款证券结构与定价:[硕士学位论文].上海:华东师范大学,2006
[41] Kester, W.C. Today’s Option for Tomorrow’s Growth. Haward Business Review,1984(March-April):153-160
[42] Trigeorgis L., Mason, S.P. Valuing Managerial Flexibility. Midland Corporate Finance Journal,1987,5(1):14-21
[2] Cox,J.C., J.E.Ingersoll and S.A.Ross. A theory of term structure of interest rates. Econometrica 1985(53):386-407
[3] Kau, J.B. and D.C. Keenan. An overview of the option-theoretic pricing of mortgages. Journal of Housing Research.1995(6): 217-244.
[4] 张歌.论商业银行住房抵押贷款证券化.山东财政学院学报,2005(5):60-62
[5] 宋钢.住房抵押贷款证券化对银行和市场的影响.金融电子化,2006(4):39-41
[6] 衡丙权.对我国引入住房抵押贷款证券化的必要性和实现方式的分析.中国经济评论,2003(12):9-14
[7] 秦恩才.论信托结构的住房抵押贷款证券化.证券之窗,2005(9):59-62
[8] 杨涛.论住房抵押贷款证券化的金融效应.中国城市经济,2005(3):44-45
[9] 刘旭东.美国住房抵押贷款证券化的运作模式及其借鉴.商场现代化,2005(12):27-28
[10] 张东华.人民币升值压力对住房抵押贷款证券化的影响.青海金融,2004(12):31-32
[11] 朱玉林.商业银行住房抵押贷款证券化可行性研究.财经理论与实践,2005(11):41-44
[12] 胡智慧.推出住房抵押贷款证券化的时机选择.经济师,2003(5):35-36
[13] 艾毓斌,黎志成.推行住房抵押贷款证券化 构建住房抵押贷款二级市场,2004(2):63-65
[14] 王军,李建华.推行住房抵押贷款证券化值得商榷的几个问题.金融论坛,2004(7):12-14
[15] 涂国龙.我国住房抵押贷款证券化的模式比较和现实选择.郑州航空工业管理学院学报,2004(6):64-65
[16] 申韬.我国住房抵押贷款证券化发展探讨.改革与战略,2005(12):110-112
[17] 吕川,吴建环.我国住房抵押贷款证券化面临的主要问题及其对策.集团经济研究,2006(9):197-198
[18] 黄晓东.我国资产证券化的切入点分析——兼论住房抵押贷款证券化必要性.理论与现代化,2004(4):51-53
[19] 董芸.银证合作:住房抵押贷款证券化.云南金融,2003(8):33-35
[20] 苏群,邱翔宇.英美住房金融制度的比较与借鉴——兼谈缓行住房抵押贷款证券化.中国经济评论,2004(8):39-42
[21] 陈晓静.住房抵押贷款证券化:美、英和香港地区的实践与思考.亚太经济,2004(2):88-90
[22] 徐灿水.住房抵押贷款证券化策略.浙江金融,2004(5):28-29
[23] 刘艳玲.住房抵押贷款证券化的风险.上海房地产,2003(11):48-50
[24] 张启水.住房抵押贷款证券化的国际比较及对我国的启示.边疆经济与文化,2004(2):98-100
[25] 肖赞军.住房抵押贷款证券化经济效应.重庆工商大学学报(社会科学版),2003(12):25-27
[26] 陶美珍,陆韬玉.住房抵押贷款证券化的政府介入作用及借鉴.经济学研究,2003(11): 25-28
[27] 张云.住房抵押贷款证券化国际经验及对我国的借鉴.国际银行业,2004(2):22-26
[28] 王 军 武 , 田 莹 . 住 房 抵 押 贷 款 证 券 化 过 渡 模 式 研 究 . 武 汉 科 技 大 学 学 报,2005(11):154-157
[29] 杨浩.住房抵押贷款证券化中的税务问题.研究与探索,2005(9):14-18
[30] 刘传哲,史国庆.住房抵押贷款支 持 证券定 价模型发 展 与启示. 国际银行业,2006(9):24-29
[31] 刘宇鑫.对实物期权在房地产抵押贷款证券中应用的研究.科技与经济,2006(17):42-43
[32] 仪 垂 林 , 刘 玉 华 . 抵 押 贷 款 定 价 : 基 于 欧 式 期 权 定 价 的 研 究 . 产 业 经 济 研 究,2005(4):57-62
[33] 袁桂秋,姜礼尚,罗俊.固定支付利率的抵押贷款定价理论——限于在支付日提前支付或违约.系统工程理论与实践,2003(9):48-55
[34] 袁桂秋,丁正中.固定支付利率抵押贷款定价原理.高等应用数学学报,2004(3):353-362
[35] 曹国华,牟生洪.住房抵押贷款定价模型研究综述.系统工程学报,2006(6):305-311
[36] 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):58-65
[37] 王重润,曹振良.住房抵押贷款中的提前偿还风险分析.房地产金融,2002(7):51-53
[38] 淳于雅.我国住房抵押贷款证券 MBS 的定价研究:[硕士学位论文].成都:西南交通大学,2004
[39] 程厉行.住房抵押贷款证券定价研究:[硕士学位论文].重庆:重庆大学,2004
[40] 奚一宇.我国住房抵押贷款证券结构与定价:[硕士学位论文].上海:华东师范大学,2006
[41] Kester, W.C. Today’s Option for Tomorrow’s Growth. Haward Business Review,1984(March-April):153-160
[42] Trigeorgis L., Mason, S.P. Valuing Managerial Flexibility. Midland Corporate Finance Journal,1987,5(1):14-21