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| 论文编号： | 932 | |
| 作者编号： | 2120071959 | |
| 上传时间： | 2009/5/24 23:01:12 | |
| 中文题目： | 中国住房抵押贷款证券化风险研究 | |
| 英文题目： | Research on the risks of the m | |
| 指导老师： | 王全喜 | |
| 中文关键字： | 住房抵押贷款;证券化;风险 ;次贷 | |
| 英文关键字： | mortgage;securitization;risk;s | |
| 中文摘要： | 2007年美国房地产金融市场爆发了次级债危机并通过各种金融衍生品迅速放大直至波及全球金融市场，给全球经济带来了巨大的震动。“次贷”曾给美国乃至世界经济带来活力，然而，本次“次贷”危机却深刻的体现出如果对“次贷”利用不当，对经济同样具有极大的破坏力。因此，本次“次贷”危机引发了全球对住房抵押贷款及其金融衍生品安全性的广泛思考。本文正是对住房抵押贷款最重要的金融衍生品――住房抵押贷款支持证券的风险性进行研究。 中国住房抵押贷款证券化正处于其发展的初级阶段，此次危机不仅对中国住房抵押贷款证券化的发展起到了警示的作用，更为住房抵押证券化在中国的发展提供了一次学习和借鉴的机遇。笔者结合中国的实际情况，以资产池构建、信用增级、评级、定价发行、资产管理等阶段为线索，将住房抵押贷款证券化的风险归纳为共五类十一种风险。特别是在中国特殊的实际情况下，笔者对住房抵押贷款证券化风险的特殊性进行分析，并强调了提前还款风险在中国住房抵押贷款证券化发展过程中的突出地位，应对其着重研究。因此，笔者以中国首例住房抵押贷款支持证券——“建元2005－1”证券为研究对象，运用灰色关联分析法对抵押贷款的剩余期限、贷款利率、居民收入水平等因素与提前还款率指标的关联程度进行分析，揭示出中国社会经济等各方面因素对提前还款风险的影响程度，从而在中国住房抵押贷款证券化未来的发展过程中有的放矢的识别和防范提前还款风险。计算结果表明，在中国，住房抵押贷款的剩余期限与提前还款率相关程度最高。 笔者进一步对本次美国“次贷”危机的起源、发展以及对全球经济的影响进行研究，对住房抵押贷款证券化的各种风险在危机中的作用进行剖析，并通过对比中、美两国在住房抵押贷款一、二级市场在市场环境、法律环境，政策制度等方面的异同之处，结合中国国情对中国住房抵押贷款证券化的提前还款风险、利率风险、信用风险等提出了一系列对策建议，旨在帮助住房抵押贷款证券化能够在中国顺利发展，警醒我们避免重蹈美国“次贷”危机的覆辙。 | |
| 英文摘要： | In the year of 2007, the sub-prime debt crisis broke out in the real estate market in USA. And it quickly spread to the global financial market. Once, the sub-prime debt brought fresh blood to the American economy. However this crisis tells us that if the sub-prime debt was used improperly it would make tragedy happen. Therefore, the financial safety of the mortgage and the financial products derived form it were highly concerned by all over the world. This research is just the one that studies the risks of the mortgage-backed security. As for now, the mortgage securitization in china is on its first stage. The crisis provides us a valuable chance to study. The author concludes 11 risks that would probably happen during the process of securitization into 5 categories. The author also analyzes the particularities of the risks of mortgage securitization in China. And the prepayment risk is highlighted. The author analyzes the data of “Jianyuan” security with gray system analysis to find out how interest, income level, etc. affect the prepayment risk so that we could recognize and prevent prepayment risk better. The result shows that the residual period of the mortgage is highly relevant with prepayment behavior. Furthermore, the author studies the reason why sub-prime crisis happened and compared China with USA. Finally, the author makes some suggestions that could be useful to the mortgage securitization development in China. | |
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