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1.
住房抵押贷款证券化是房地产证券化的一种形式,浅述了住房抵押贷款证券化的涵义和国外的经验,对我国住房抵押贷款市场的局限性进行了分析,阐述了推行住房抵押贷款证券化的必要性和可行性,并重点对我国进行住房抵押贷款证券化提出相应的对策和建议。  相似文献   

2.
以住房抵押贷款证券化为重要内容的资产证券化浪潮自二十世纪七十年规范从美国兴起,经过美欧诸国的发展实践,已经扩展到亚洲新兴发展中国家,资产证券化作为虚拟经济发展的重要形式,已日益引进协家有关部门的重视,鉴于其在刺激国内需求,调节资金供求平衡方面具有独特作用,今后国家势必将其作为刺激经济发展的重要杠杆加以利用,因此,天津应紧紧把握这一发展趋势,尽早开展资产证券化中最主要的形式-住房抵押贷款证券化的尝试,为天津经济发展提供新的动力。  相似文献   

3.
我国住房抵押贷款证券化模式选择与运行   总被引:5,自引:0,他引:5  
在我国国民经济动态发展过程中,房地产业的重要地位已日益得到显现,而推行住房抵押贷款的证券化,已成为经济理论界和政府管理部门的共识,但是,在我国住房低押贷款证券化的推行中,应怎样借鉴国际上住房抵押贷款证券化的经验?我国住房抵押贷款证券化的模式窨如何选择?应怎样设计我国住房抵押贷款证券化的担保模式?这些都是在推行住房抵押贷款证券化过程中,目前必须加以研究和解决的问题。  相似文献   

4.
住房抵押贷款证券化是资产证券化的一种形式,就其经济功能、运作程序进行探析,对可能出现的风险进行分析,并对现实中如何实施给出了相关的建议。  相似文献   

5.
从分析中国目前住房抵押贷款证券化的基础环境入手,提出中国住房抵押贷款证券化应按先试点,再全面推行两步实施,在此基础上重点阐述了试点阶段的具体实施方案,对试点阶段证券化的工具选择、发行证券属性的界定、证券化实施条件、交易结构设计等方面进行了深入的分析。  相似文献   

6.
住房抵押贷款支持证券定价模型的发展与启示   总被引:3,自引:0,他引:3  
住房抵押贷款证券化发行的住房抵押贷款支持证券包含提前偿还风险和违约风险两个期权,这使得其定价要比一般债券的定价复杂得多。而我国的住房抵押贷款证券化又有着不同证券化发达国家的特点,因此研究国外定价模型的适用情景和发展对我国的实践是非常必要的。本文旨在沿着住房抵押贷款支持证券定价理论结构化和简约化模型两条主要线索的发展,对该领域的最新研究成果进行介绍和评价,并得出和我国住房抵押贷款证券化实践相关的启示。  相似文献   

7.
抵押银行债券住房抵押贷款证券化的替代方案   总被引:2,自引:0,他引:2  
抵押银行债券是住房金融机构获得住房抵押贷款资金的两种主要融资方式之一。在我国目前推行住房抵押贷款证券化,约束条件很多,准备成本很高。而发展抵押银行债券的约束条件很少,准备成本很低,却可以获取与住房抵押贷款证券化同样的收益,目前我国应该创立抵押银行制度,大力发展抵押银行债券。  相似文献   

8.
住房抵押贷款证券化有利于推动住房产业化和资本市场的发展,其发展离不开立法支持和信用支持,我国在开展住房抵押贷款证券化过程中,要借鉴国际经验,完善证券化业务环境,强化政府支持,推动住房抵押贷款证券化的实质进展。  相似文献   

9.
住房抵押贷款证券化一方面解决了银行的流动性问题,另一方面又给投资者增加了一种投资的选择机会。美国住房抵押贷款证券化的成熟经验对我国具有深刻的启示。  相似文献   

10.
分析了房地产证券化实施的意义,阐述了推行住房抵押贷款证券化的难题,提出了解决建议。  相似文献   

11.
The conventional duration measure for mortgage-backed pass-through securities assumes that the prepayment rate is invariant to changes in market interest rates. In this paper, the conventional duration is modified to take into account the interest-rate sensitivity of mortgage prepayments. Including interest rate sensitivity is shown to reduce substantially the duration of a mortgage-backed pass-through security when the current mortgage rate is less than the contract rate.  相似文献   

12.
The traditional approaches to indexing first developed for equities and then adapted to bonds are not effective for mortgage-backed securities. This paper details a new technique for indexing portfolios of mortgage-backed securities which rectifies the deficiencies of the older cellular method. By focusing on the performance characteristics of the bonds adjusted for their embedded options, we at once simplify the process of portfolio selection and increase the accuracy of performance tracking.  相似文献   

13.
Increasing popularity of investments in mortgage-backed securities has led to closer integration of the mortgage market into traditional capital markets. Using monthly returns during 1982–1988 for common stocks, Treasury bonds and GNMA and FHLMC mortgage-backed securities, the interbattery factor analytic Arbitrage Pricing Theory of (Cho, 1984) is used to test five hypotheses for intramarket and intermarket integration. Results indicate that three to five common factors are found within the same security market, while only one to three factors are found common between different markets.The APT could not be rejected within the same security market, but was rejected in most intermarket comparisons. While risk-free rates are found to differ between markets, the risk premium tests are conclusive indicators of integration. Our results support claims that the stock, bond, and the mortgage-backed securities markets are integrated.  相似文献   

14.
谨慎实施住房抵押贷款证券化   总被引:1,自引:0,他引:1  
尽管推行住房抵押贷款证券化有助于拓展房地产金融业务,促进房地产市场发展,但我国实施这一举措的基础环境尚待改善,因此,有必要审慎,渐进地推行住房抵押贷款证券化,切忌操之过急。与此同时,应切实,有效地推行有助于个人住房贷款发展的政策措施,培育个人信用制度,建立和健全相关法规体系,为实行住房抵押贷款证券化奠定坚实基础。  相似文献   

15.
This paper puts forward a valuation framework for mortgage-backed securities. Rather than imposing an optimal, value-minimizing call condition, we assume that at each point in time there exists a probability of prepaying; this conditional probability depends upon the prevailing state of the economy. To implement our valuation procedure, we use maximum-likelihood techniques to estimate a prepayment function in light of recent aggregate GNMA prepayment experience. By integrating this empirical prepayment function into our valuation framework, we provide a complete model to value mortgage-backed securities.  相似文献   

16.
This article has taken considerable effort to accurately model the complexity of a commercial mortgage and its mortgage-backed security. In fact, it is the first example in the general literature on mortgage pricing to present a comprehensive set of numerical results in which the valuation of a mortgage-backed security is explicitly tied to that of the underlying mortgage. The conclusion we reach is that option pricing provides an accurate and flexible approach to valuing the complex mortgage instruments now being developed in the financial community.  相似文献   

17.
This paper shows that banks overstate the value of distressed assets and their regulatory capital during the US mortgage crisis. Real estate-related assets are overvalued in banks' balance sheets, especially those of bigger banks, compared to the market value of these assets. Banks with large exposure to mortgage-backed securities also provision less for bad loans. Furthermore, distressed banks use discretion over the classification of mortgage-backed securities to inflate their books. Our results indicate that banks' balance sheets offer a distorted view of the financial health of the banks and provide suggestive evidence of regulatory forbearance and noncompliance with accounting rules.  相似文献   

18.
To value mortgage-backed securities and options on fixed-income securities, it is necessary to make assumptions regarding the term structure of interest rates. We assume that the multi-factor fixed parameter term structure model accurately represents the actual term structure of interest rates, and that the values of mortgage-backed securities and discount bond options derived from such a term structure model are correct. Differences in the prices of interest rate derivative securities based on single-factor term structure models are therefore due to pricing bias resulting from the term structure model. The price biases that result from the use of single-factor models are compared and attributed to differences in the underlying models and implications for the selection of alternative term structure models are considered.  相似文献   

19.
Review of Quantitative Finance and Accounting - We examine whether the predictive power of initial yield spreads of mortgage-backed securities (MBS) vary with the financial cycle. Using a...  相似文献   

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