基于两因素期限结构模型的RMBS定价研究

在住房抵押贷款证券化的过程中,定价是住房抵押贷款支撑证券(residential mortgage-backed securitilization,RMBS)发行与交易的关键,也是其发行成功的前提.针对当前RMBS定价模型数据需求量大、求解复杂等问题,采用HJM利率期限结构方法,通过两因素、无套利利率期限结构模型,构造了零息债券收益率期限结构方程,并给出了参数估计方法;基于期权定价理论,利用随机规划技术,建立了RMBS的定价模型.该模型具有形式简单、易于求解等特点,而且对参数估计所需的历史数据并不严格要求有很长的年限,非常适合抵押贷款开展历史较短的国家.

A residential mortgage-backed securities pricing method based on a two-factor term structure

In residential mortgage-backed securitilization(RMBS),accurate pricing is the key to their successful issue and exchange.Unfortunately current RMBS pricing methods need a great deal of data and are difficult to solve.In this paper,using the HJM term structure method,we established the structural equation of a zero-coupon bond yield on the basis of a two-factor,no-arbitrage term structure model.A method for parametric estimation is given. A pricing model for RMBS was constructed based on option pricing theory and stochastic programming techniques.This model is better suited to countries in the primary stages of implementing RMBS,such as China,since this model is simple,doesn't need detailed historical data,and is easily solved.