關于我國住房抵押貸款證券化中提前償付行為的研究.pdf

1、中國科學技術大學碩士學位論文關于我國住房抵押貸款證券化中提前償付行為的研究姓名：杜希奎申請學位級別：碩士專業(yè)：管理科學與工程指導教師：@20100408AbstractIIABSTRACTPeople began to focus on mortgage-backed securitization (MBS) again, which isone of the most important financial innovations n

2、owadays, when the sub-prime crisisswept the world in 2007. It is developing in high-speed, and increases the liquidity ofthe assets, expands investment channels. Besides, MBS can promote the developmentof the real estate

3、 market and the securities market. Otherwise, it also provides anopportunity to spread the risk and enlarge. Although MBS is young in our country, inthis context, it is necessary for our country to study MBS in-depth in

4、order to avoidthe crisis from happening again.Firstly, this paper describes the concept, origin, the basic principle and operationmechanism, then establish the quantitative model of MBS from the perspective ofissuers wit

5、h Operation Research method, to help investment banks determine themaximum benefits and avoid the risk of sub-prime mortgages. In addition, review theMBS process of our country, and the main risk, including prepayment ri

6、sk, defaultrisk, rate risk, and legal risk.Secondly, this paper defines pay factor, and focus on analysis of prepayment riskby pay factor; describe the threat of prepayment behavior for originator of securities,issuers,

7、investors, real estate market and stock market. Then, put forward the factorsaffecting our prepayment, including loan interest rates, the real estate market prices,per capita disposable income, economic cycles and consum

8、er attitudes, etc.; alsoFinally, this paper introduces measure indicators of the prepayment behavior, andthe foreign prepayment behavior prediction models. The article points the models arenot suitable for our MBS prepay

9、ment behavior by a simple evaluation; and then putforward multiple regression model based on Proportional Hazard Model, and make anempirical research to the factors affecting our prepayment of our country, which pointout

10、 that the per capita disposable income, loan interest rates, housing price have asignificant impact on prepayment behavior, meanwhile, shows the multiple linearregression model can be used to forecast in our MBS prepayme