抵押贷款支持证券定价的蒙特卡罗方法研究

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摘要资产证券化目前已经成为我国金融市场管理层重点关注的业务,对抵押贷款证券化产品进行合理定价也成为金融机构的当务之急。在CIR随机利率模型和早偿模型的基础上,用蒙特卡罗模拟的方法,给出了抵押贷款支持证券的理论价格计算方法。同时分析了各种宏观因素和变量对抵押贷款支持证券的影响。

作者陈永华毕玉升

机构地区南开大学国际经济研究所同济大学经管学院

出处《上海经济研究》 CSSCI 北大核心 2008年第1期78-84,共7页 Shanghai Journal of Economics

关键词证券化抵押贷款支持证券蒙特卡罗模拟早偿

参考文献7

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上海经济研究

2008年第1期

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