| 基于理性提前偿付的住房抵押贷款证券定价研究 |
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| 引用本文： | 袁宏,崔啸,董纪昌,高鹏.基于理性提前偿付的住房抵押贷款证券定价研究[J].管理评论,2010(8). |
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| 作者姓名： | 袁宏 崔啸 董纪昌 高鹏 |
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| 作者单位： | 中国科学院研究生院管理学院; |
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| 摘 要： | 在分析MBS定价的影响因素以及比较结构化模型与简化形式模型定价方法的基础上,考虑模型的稳健性和可操作性,本文利用简化方法中的Schwartz和Torous定价模型,以建元2007-1RMBS作为研究对象,模拟出BDT利率模型下的利率期限结构,再结合提前还款模型中的PSA法确定贷款现金流,进而确定期权调整价差OAS,构建了适用于我国的MBS定价模型。
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| 关 键 词： | 住房抵押贷款证券 提前偿还 利率期限结构 期权调整价差 蒙特卡洛模拟 |
Pricing of the Mortgage-Backed Security Based on Rational Pre-Payment |
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| Yuan Hong,Cui Xiao,Dong Jichang , Gao Peng.Pricing of the Mortgage-Backed Security Based on Rational Pre-Payment[J].Management Review,2010(8). |
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| Authors: | Yuan Hong Cui Xiao Dong Jichang Gao Peng |
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| Affiliation: | Yuan Hong,Cui Xiao,Dong Jichang and Gao Peng (School of Management,Graduate University of CAS,Beijing 100190) |
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| Abstract: | This paper summarizes the factors and basic theory in Mortgaged-Backed Securities Pricing.By comparing the Structural Model and Reduced-Form Model,we get the pricing ideas.Considering stability and feasibility,the Schwartz and Torous Pricing Model are used for reference to research on Jianyuan 2007-1RMBS.By using Monte Carlo Simulation,we simulate the BDT interest rate term structure,and then combine with PSA pre-payment model to determine the loan cash flow and option adjusted spread.Finally we get the MBS... |
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| Keywords: | mortgage backed securities (MBS) prepayment interest term structure option-adjusted spread (OAS) Monte Carlo Simulation |
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