| 主房抵押贷款支持证券定价理论的发展 |
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| 引用本文： | 陈颖,屠梅曾.主房抵押贷款支持证券定价理论的发展[J].经济管理,2006(6):74-81. |
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| 作者姓名： | 陈颖 屠梅曾 |
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| 作者单位： | [1]上海交通大学管理学院博士研究生 [2]上海交通大学管理学院教授、博士生导师 |
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| 基金项目： | 国家自然科学基金项目（项目编号：70341015）. |
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| 摘 要： | 本文介绍了传统的住房抵押贷款支持证券（MBS）的定价理论，着重探讨了MBS定价的计量经济方法，对其在理论上、实践中以及模型方面的发展都做了详细的介绍和阐述，目的在于对我国近期内将出现的住房抵押贷款的衍生金融产品的定价问题起到指导和借鉴作用。
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| 关 键 词： | 定价 提前还款风险 违约风险 抵押贷款支持证券（MBS） |
| 文章编号： | 1002-5766（2006）06-0074-08 |
| 收稿时间： | 2005-11-07 |
| 修稿时间： | 2005-11-07 |
Development of Pricing Theory of MBS |
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| CHEN Ying, TU Mei-zeng.Development of Pricing Theory of MBS[J].Economic Management,2006(6):74-81. |
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| Authors: | CHEN Ying TU Mei-zeng |
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| Institution: | CHEN Ying TU Mei-zeng |
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| Abstract: | The paper gives a general review of theoretical and empirical study on pricing of MBS (Mortgage backed securities) from the traditional pricing theory of MBS. The econometrics method has been emphasized. In this paper, default risk, prepayment risk and mortgagor's heterogeneity are all regarded as the important factors of pricing. Then we compared with several term structure models that can be used in pricing of MBS. |
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| Keywords: | pricing risk prepayment default mortgage backed securities (MBS) |
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