住房抵押贷款支持证券定价模型的发展与启示

Development and Implication of Pricing Model of Mortgage-backed Securitization

住房抵押贷款证券化发行的住房抵押贷款支持证券包含提前偿还风险和违约风险两个期权,这使得其定价要比一般债券的定价复杂得多。而我国的住房抵押贷款证券化又有着不同证券化发达国家的特点,因此研究国外定价模型的适用情景和发展对我国的实践是非常必要的。本文旨在沿着住房抵押贷款支持证券定价理论结构化和简约化模型两条主要线索的发展,对该领域的最新研究成果进行介绍和评价,并得出和我国住房抵押贷款证券化实践相关的启示。

As one of the important forms of securitization, mortgage-backed securitization issues the mortgage-backed securities including two options of prepayment and default risks which make it complex to price the securities.And China＇s mortgage-backed securitization has its distinct characteristics which differs from the developed countries.So studying the applicabilities and developments of their pricing models is very necessary for our practice. Along with the two main clues of mortgage-backed securities＇ pricing models- Structural Models and Reduced-Form Models, the paper introduced and reviewed the new research achievements in this field and got suggestions for China＇s practice.