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住房抵押贷款证券化发行模式探究

发表时间:2013-07-15  浏览量:1279  下载量:471
全部作者: 杨悦,于波
作者单位: 大连理工大学数学科学学院
摘 要: 资产证券化是银行改善资产负债结构的一个重要途径,并且能给投资者提供收益较高的理财工具,从现阶段国内金融市场的发展来看,大规模推行资产证券化的市场基础已趋于成熟。研究借助数学优化工具,提出一套较完整且合理的住房抵押贷款证券化发行模式。首先引入一个基于分布式鲁棒优化的方法估计组合贷款的还款违约率;接着改进一个信用评级系统,其中考虑了关于抵押住房市场价值的看跌期权,最后提出运用动态规划模型构造基于住房抵押贷款的连续偿本结构担保抵押证券的技术。以期为我国商业银行及住房抵押贷款证券化的参与者带来启发和思考。
关 键 词: 动态规划;住房抵押贷款证券化;分布式鲁棒优化;违约率;信用评级
Title: Research on issuance ways of mortgage-backed securitization
Author: YANG Yue, YU Bo
Organization: School of Mathematical Sciences, Dalian University of Technology
Abstract: Asset securitization is an important way to improve bank asset liability structure, and can offer financial tools for investors with high yields. According to the rapid and stable development of the domestic financial market, the large-scale asset securitization is on the way. To establish a complete and reasonable mortgage-backed securitization structuring model, this paper firstly introduced a method to estimate the repayment default rate based on distributional robust optimization. Then, a credit rating system was improved by containing an option on the mortgage market value. Finally, using the dynamic programming model to structure the mortgage-backed securities was proposed. It is supposed to make a contribution to the financial innovation of China and put forward fresh ideals.
Key words: dynamic programming; mortgage-backed securitization; distributional robust optimization; default rate; credit rating
发表期数: 2013年7月第13期
引用格式: 杨悦,于波. 住房抵押贷款证券化发行模式探究[J]. 中国科技论文在线精品论文,2013,6(13):1255-1263.
 
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