美国次级房贷及其抵押债券危机的成因分析

A Study into the Cause of American Sub-prime Mortgage and Bond Crisis

始于2007年初的美国次级债务问题愈演愈烈,好几家大公司和七十多家对冲基金深陷其中,对全球金融市场带来一次又一次的冲击。本文从美国次级住房贷款市场的发展、信用特征、风险度量等三方面探讨次债危机发生的原因、可能的影响及教训。本文认为,次级房贷及相关的住房抵押债券本身属于高风险资产,并且难以准确定价,风险溢价偏低致使金融机构对损失准备不够充足;美国宏观经济发展减速使得地产价格下跌更是加速了风险的释放。美国顶级金融机构深陷次债危机之中,承受巨大经济损失,再次表明风险管理不容忽视。

The sub-prime lending trouble of early 2007, in which several big banks, lenders and over seventy hedge funds are involved, has snowballed into a big problem, causing great damage to global financial markets over a long period. The thesis attempts to explore the causes by looking into its short history, credit risk profile measurement, and to forecast its possible implications and to draw some lessons from the analysis. The thesis finds that though sub-prime mortgage and bonds are highly risky assets impossible to price, and require high risk premium, many U. S. financial institutions are ill prepeared for possible losSes, and that the prices of U. S. houses that keep falling have made things worse. The fact that many top-tier American financial institutions incurred huge losses once again demonstrates the importance of risk management.