系统工程理论与实践
繫統工程理論與實踐
계통공정이론여실천
Systems Engineering—Theory & Practice
2009年
12期
46~52
,共null页
董纪昌 刘纪学 汪成豪 袁宏 王雯珺
董紀昌 劉紀學 汪成豪 袁宏 王雯珺
동기창 류기학 왕성호 원굉 왕문군
住房抵押贷款证券 提前偿还 期权调整价差
住房牴押貸款證券 提前償還 期權調整價差
주방저압대관증권 제전상환 기권조정개차
mortgage backed securities（MBS）; prepayment; option-adjusted spread（OAS）
在分析MBS（Mortgage-backed securities）定价影响因素的基础上,考虑模型的稳健性和可操作性,利用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.
在分析MBS（Mortgage-backed securities）定價影響因素的基礎上,攷慮模型的穩健性和可操作性,利用Schwartz和Torous定價模型,以建元2007-1RMBS作為研究對象,模擬齣BDT利率模型下的利率期限結構,再結閤提前還款模型中的PSA法確定貸款現金流,進而確定期權調整價差OAS,構建瞭適用于我國的MBS定價模型.
재분석MBS（Mortgage-backed securities）정개영향인소적기출상,고필모형적은건성화가조작성,이용Schwartz화Torous정개모형,이건원2007-1RMBS작위연구대상,모의출BDT리솔모형하적리솔기한결구,재결합제전환관모형중적PSA법학정대관현금류,진이학정기권조정개차OAS,구건료괄용우아국적MBS정개모형.
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 pricing model applicable to China through the establishment of empirical study.
