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在我国房地产业的迅猛发展下,住房抵押贷款规模不断扩大,住房抵押贷款证券化也随着“建元2005-1”的上市而破局,住房抵押贷款证券的定价问题研究也成为我国资本市场证券化领域的热点。本文在总结了国外定价方法和国内相关研究的基础上,从分析影响我国住房抵押贷款证券价格的主要因素入手,阐述了借款人可支配收入和房款这两个主要因素决定的借款人提前还款的模型,并根据我国住房抵押贷款证券的特点建立了住房抵押贷款转付证券的静态利差定价框架。采用此定价框架,本文对“建元2005-1”资产池进行了定价分析,结果显示,相对于建元发行说明书里假设的CPR,在基于收入和房款的提前还款模型下,资产池的提前还款风险更大,对利率变动更加敏感,要求的收益率也更高。
With the rapid development of real estate in our country, the scale of home mortgage loans has been expanding. The mortgage-backed securities have also been broken down with the listing of “Jianyuan 2005-1”. The research on the pricing of mortgage-backed securities has also become one of the key issues in China’s capital market securities The hot area of the field. Based on the summarization of the foreign pricing methods and domestic related research, this article starts with the analysis of the main factors affecting the price of China’s mortgage-backed securities and expounds the borrowers’ decisions on the disposable income and the real-estate loans. According to the characteristics of China’s mortgage-backed securities, a static interest-rate pricing framework for the mortgage-backed securities is established. Using this pricing framework, this paper analyzes the pricing of the “Jianyuan 2005-1” asset pool. The results show that under the pre-paid repayment model based on income and principal payments, compared with the CPR assumed in the issuance prospectus of Jianyuan, Have a higher risk of prepayment, are more sensitive to changes in interest rates and require higher yields.