信用卡应收款资产证券化的设计及策略0515

硕士研究生学位论文题目：抵押贷款证券化产品之早偿率与定价方法研究姓名：邱昆学号：10562065院系：中国经济研究中心专业：金融学研究方向：金融学导师姓名：巫和懋教授二00七年五月版权声明任何收存和保管本论文各种版本的单位和个人，未经本论文作者同意，不得将本论文转借他人，亦不得随意复制、抄录、拍照或以任何方式传播。否则，引起有碍作者著作权之问题，将可能承担法律责任。I摘要资产证券化对于提高银行资本充足率和资产的流动性、降低融资成本和增加中间业务收入都具有重要作用。2005年岁末,开行和建行分别推出信贷资产支持证券（ABS）和个人住房抵押贷款支持证券（MBS）标志着我国真正意义上的资产证券化终于走向市场，并得到投资者和国内外研究机构的认可。随着资产证券化市场的逐步推进，其核心部分——定价技术的重要性不断提高，越来越得到各研究机构的重视。本文主要对资产证券化的基本理论、运行框架和定价进行了阐述和研究，重点就影响定价的关键性因素—早偿率以及证券化产品的定价方法进行了系统性分析，结合了期权调整利差法（OAS）、蒙特卡罗模拟方法及相关参数选择策略进行了实证性定价研究。本文通过研究国内外的早偿率模型及影响因素，结合行为金融学中前景理论进行因素分析，采用了动态模型分析方法，使用了地域、季节性、贷款信息、借款人信息等多个变量，设定LOGISTIC回归模型进行建模。本文选用了某一家商业银行的个人抵押贷款样本数据，采用了基于贷款层次计量早偿速度的方法，把早偿率的分析从传统单一的早偿率模型拆分为部分早偿率模型和全部早偿率模型分析。通过LOGISTIC回归分析后发现，影响部分早偿率和全部早偿率的因素确实存在差别，同时通过验证得到的预测综合早偿率指标与实际早偿率指标偏差为0.1135%,偏差率为4.16%。本文在综合比较分析抵押贷款证券定价常用的静态现金流量收益率法（SCFS）、静态利差法（SS）和期权调整利差法(OAS)等方法后，采用了OAS方法进行抵押贷款证券的定价分析，并选用Vasicek单因子模型作为利率的动态模型，通过蒙特卡罗模拟产生2000条动态利率路径，结合早偿率指标等数据，来进行抵押贷款证券的定价。在定价过程中本文用VB语言在EXCEL基础上编写了定价计算的程序，通过把本文综合早偿率模型计算之结果与MBS债券发行说明书公布的固定早偿率分别代入程序进行运算，最终得到两者计算的期权利差的差额为48-60个基点。由此可见，由于对早偿率预测过低，MBS债券在发行时设置的利率上下限确实压低了应有的溢价。本文通过对抵押贷款证券化产品的早偿率模型及OAS定价方法的分析和研II究，提出了一个初步的定价框架，尤其是通过对早偿率的创新性研究和实证分析，为我国资产证券化的进一步创新和发展提供有益的借鉴。关键词：抵押贷款证券化早偿率模型期权调整利差法蒙特卡罗模拟IIIThestudiesonPrepaymentmodelandPricingmethodofMortgage-backedSecuritizationQiuKun(Finance)DirectedbyProfessorHo-mouWuABSTRACTAssetsecuritizationisofgreatimportanceinconcernwithimprovingthecapitaladequacy,improvingassetsliquidity,increasingtheintermediaryoperationyield,andreducingthefinancingcost.In2005,ChinaDevelopingBankandChinaConstructionBankallBringforwardABS--Asset-backedSecuritiesandMBS--Mortgage-backedSecuritieswhichmeanstheAssetsSecuritizationinchinahasalreadywalkedintothefinancialmarketandisbeenapprovedbyinvestorsandresearchinstitutionsthroughouttheworld.Andaswegofurtherintheprocess,theimportanceofPricingmethodwhichisoneofthecoreTechnologiesinAssetsSecuritizationisbeenemphasizedmoreandmore.ThisarticlemainlyexplainsthebasictheoryofAssetSecuritization,theoperatingframeandthePricingmethod.WefocusedonthefactorPrepaymentwhichaffectsPricinggreatlyandthesystematicexplanationofPricingmethods.WecombinedtheOAS(optionadjustedspread),MonteCarloSimulationApproachandsomeotherparameterchoosingmethodsinordertogiveaempiricalstudydemonstrationofPricingTechinthisarticle.Bystudyingtheworld’sPrepaymentmodelsandfactorsusingProspectTheoryinBehaviorFinance,webuildthemodelusingdynamicanalyzingmethodaccordingtoLogisticregressionmodel.Thismodelisusingmanyvariablessuchasdistribution,seasoning,loaninformationanddebtors’inform.Inthearticlewechoosethepersonalmortgagedataofacommercialbankastheresourcedataset.AndwhileanalyzingthePrepaymentbehaviorusingthemethodthatcalculatesthePrepaymentratebasedonthelevelsofloan,wetransformtheanalyzingmethodofPrepaymentratefrommoduleanalyzingintopartialmoduleanalyzingandthoroughmoduleanalyzing.AfterperformingtheLogisticRegressionanalysis,wediscoveredthefactorthataffectsPartialPrepaymentModelandtheThoroughPrepaymentModelaredifferent,wealsoapprovedthatthemeasuredPartialPrepaymentRatediscriminatefromtheRealPrepaymentRateby0.1135%,thedifferentiateratiois4.16%.Inthearticle,wecomparedthenormalusedmethodsofPricingtheMortgage-backedSecurities,suchmethodsareSCFY(StaticCashFlowYield),SS(StaticSpread),andOAS.AndweusedtheOAStodothepricing.Duringtheprocess,wepickedtheVasiceksinglefactormodelastheinterestratedynamicmodel,andbyusingtheMonteCarloSimulationApproachwesimulate2000dynamicinterestrateway.InIVcombinationofthePrepaymentrateandothervariables,wedevelopedaPricingmethod.Furthermore,weprogrammedthePricingMethodusingVBbasedonEXCEL,andwhilecomparingtheprogramgivenPrepaymentrateandtheMBS’sfixedPrepaymentrate,wenoticedthatthetwonumbersarevariedby48to60basicpoints.SoweconcludethattheMBS’sfixedupperandlowerlimitofinterestrateisactuallydrivingdownthegrantedprofit.BystudyingthePrepaymentmodeloftheMortgage-backedSecuritiesandtheOASPricingmethod.Weputforwardanewprimarypricingframe.Theinnovativestudyapproachandtheempiricaldemonstrationwillbeofgreatuseandreferenceinthefutureofourcountry’sMortgage-backedSecuritizationdevelopment.Keywords:MBS,Prepaymentmodel,OAS,MonteCarloSimulationApproachV目录摘要..........................................................................................................................IABSTRACT.................................................................................................................III1.前言..................................................................................................................12.资产证券化基本理论......................................................................................32.1资产证券化的基本概念及分类32.2资产证券化产生的背景及意义42.3资产证券化的发行架构及一般流程62.3.1资产证券化的架构...............................................................................62.3.2资产证券化的一般流程.......................................................................82.4资产证券化的核心技术92.4.1破产隔离技术.......................................................................................92.4.2信用增级技术..........................................................