住房抵押贷款支持证券的利率风险度量——基于“建元2005-1MBS”A证券的实证被引量：4

Interest Rate Risk Measurement of Mortgage-backed Securities:Experience Analysis on "Jianyuan 2005-1MBS" Security A

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摘要住房抵押贷款支持证券中隐含期权的存在导致未来现金流不确定,久期和凸度等利率风险管理工具不再适用。本文基于OAS理念建立了住房抵押贷款支持证券的利率风险度量过程:采用多项式样条函数法构建零息票收益率曲线,采用Vasicek模型描述动态利率期限结构,通过蒙特卡罗方法模拟利率路径并确定未来现金流,采用ARMA模型描述和预测提前偿付率,进而计算出OAS、有效久期和有效凸度的值。最后以"建元2005-1MBS"A证券为对象进行了实证研究。 The embedded options in MBS result in the uncertainty of future cash flows,which makes duration and convexity no longer applicable in measuring interest rate risk.Based on the OAS system,the process of measuring the interest rate risk of MBS is established as follows:constructing the zero-coupon bond's yield curve by polynomial spline functions,describing the dynamic interest rate structure with Vasicek model,simulating the interest rate paths with the Monte Carlo method and determining the future cash flows,describing and forecasting the prepayment rate with ARMA model.The effective duration and effective convexity are calculated according to their definitions with the calculated OAS.Finally,a case of 'Jianyuan 2005-1 MBS' security A is given as an empirical analysis.

作者丁浩

机构地区澳门科技大学行政与管理学院

出处《当代经济科学》 CSSCI 北大核心 2010年第2期45-53,共9页 Modern Economic Science

关键词住房抵押贷款支持证券隐含期权利率风险期权调整利差 Mortgage-backed securities Embedded option Interest rate risk Option adjusted spread

分类号 F224 [经济管理—国民经济] F832.4 [经济管理—金融学] F293.3 [经济管理—国民经济]

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