资产证券化交易风险分析与评价研究

,,3(,230009)[],,,,,[];;[]F224[]A[]1672-9706(2006)02-0080-05TheanalysisandappraisingresearchoftraderiskofassetssecuritizationZHANGBen-zhao,ZHUYi,XIEMin-li(HefeiUniversityofTechnology,Hefei230009,China)[Abstract]Theassetssecuritizationisoneofthemostimportantfinancialinnovationoninternationalfinancialmarketinrecentyears.Ithasuniqueappealtoinvestors.Investors,whileobtainingtheincome,againbecauseitscomplexitymakesinvestorsfacevariousrisks.Thisarticleisonthebasisofanalyzingcomprehensiveappraisaltothesecuritizationriskoftheassets,drawlessonsfromfuzzypreferredmethodofmanygoalsandimproveit,constructoneassetssecuritizationriskcomprehensiveappraisalmodel,andofferreferencefortheinvestorstocarryontherationalinvestmentdecision.[Keywords]assetssecuritization;analysisofrisk;appraising2070,,,():1.2.3.4.,,,,5.(co-minglingrisk),(),SPV(SpecialPurposeVehicle),SPV0820066Vol.11,No.2JOURNALOFANHUIELECTRICALENGINEERINGPROFESSIONALTECHNIQUECOLLEGEJune20063:2006-02-30:(1963-),,,,,(1980-),,,(1979-),,,,,SPV;SPV;SPVSPV,,SPV6.,AAA,,:;;,7.(1999),,,,(UNCITRAL),,,,8.SPV,SPV,SPV,,FASB94(votinginterests),,200317,FASBFIN46,SPE,FASB140(QSPE),:(VIE)FIN46VIE,(primarybeneficiary)VIE(),:1.SPVSPV,SPV,,SPV,PTP()7704(b)PTP,,PTPPTP,SPV2.SPV,(--),(SPV),3.18,,:4.,,,,5.SPV(withhold),10%30%,,:SPV,,,,(),,,1.,2.,,,,3.,,,():1.,(home-equityloan),,,12,FHA,(CPR),(PSA)(economicprepaymentmodel),,,,MBS,2.,,,,():VaR(ValueatRisk)3.,,,,,4.,,,285.,,,,,,,,(),7:1.,3A2AA3B2BBC,3A,7,C,1;2.,,123,3,LR;3.,T;4.,,TP;5.,OPU,:PSMM-10%-PSMM+10%2PbasecaseSMM100SMM;PSMM-10%SMM10%;PSMM+10%10%;PbasecaseSMM6.1/32YV32,1/32,,,YV32,,;7.,OAS,:Poas-100bps-Poas+100bps2Poas100PoasOAS,Poas-100bpsOAS100,Poas+100bpsOAS100;8.,FC(),,:1.X=x1,x2,,xn,yij(i=1,2,,m;j=1,2,,n),mnr=yijmxn,,r=yijmxnR=yijmxn,(),rij=yij-minyijjmaxyij-minyijjj(),rij=maxyij-yijjmaxyij-minyijjj(),38,,:rij=1-maxqi1-yij,yij-qi2maxqi1-minyij,maxyij-qi2jj,y/[qi1,qi2]1,y[qi1,qi2]rijyij,[0,1]LRTPYV32,2..rij-Sj:rij-=1nnj=1rij(j=1,2,,n)Sj=1n-1nj=1(rij-rij-)(j=1,2,,n).,:vj=Sjrij-(j=1,2,,n).vj,:wj=vjnj=1vj(j=1,2,,n)3.Rj+=max{r1j,r2j,,rmj},Rj-=min{r1j,r2j,,rmj}i:di+=nj=1wjrj+-rij2i:di-=nj=1wjrij-rj-2:ci=di-di+cixi,,ci,,,,,,,,:[1].:[M].:,2002.[2].:[M].:,2002.[3]L.-[M].:,2003.[4],,.[M].:,1995.[5].[J].,2002,(2).[6].[J].,2001,(2).[7].[J].,2000,(2).[8]JohnSRoglieri,DeborahRSeife.Fin46:AnEnigmaWrappedinapuzzle[R].FitchRatingsSpecialRe2port,May13,2003[:]48