| 住房抵押贷款支持证券的利率风险度量——基于"建元2005-1 MBS"A证券的实证 |
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| 引用本文： | 丁浩.住房抵押贷款支持证券的利率风险度量——基于"建元2005-1 MBS"A证券的实证[J].当代经济科学,2010,32(2). |
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| 作者姓名： | 丁浩 |
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| 作者单位： | 澳门科技大学,行政与管理学院,澳门,999078 |
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| 摘 要： | 住房抵押贷款支持证券中隐含期权的存在导致未来现金流不确定,久期和凸度等利率风险管理工具不再适用。本文基于OAS理念建立了住房抵押贷款支持证券的利率风险度量过程:采用多项式样条函数法构建零息票收益率曲线,采用Vasicek模型描述动态利率期限结构,通过蒙特卡罗方法模拟利率路径并确定未来现金流,采用ARMA模型描述和预测提前偿付率,进而计算出OAS、有效久期和有效凸度的值。最后以建元2005-1MBSA证券为对象进行了实证研究。
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| 关 键 词： | 住房抵押贷款支持证券 隐含期权 利率风险 期权调整利差 |
Interest Rate Risk Measurement of Mortgage-backed Securities:Experience Analysis on Jianyuan 2005-1MBS Security A |
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| DING Hao.Interest Rate Risk Measurement of Mortgage-backed Securities:Experience Analysis on Jianyuan 2005-1MBS Security A[J].Modern Economic Science,2010,32(2). |
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| Authors: | DING Hao |
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| Institution: | Macau University of Science and Technology;Faculty of Management and Administration;Macau 999078;China |
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| Abstract: | The embedded options in MBS result in the uncertainty of future cash flows,which makes duration and convexity no longer applicable in measuring interest rate risk.Based on the OAS system,the process of measuring the interest rate risk of MBS is established as follows:constructing the zero-coupon bond's yield curve by polynomial spline functions,describing the dynamic interest rate structure with Vasicek model,simulating the interest rate paths with the Monte Carlo method and determining the future cash flow... |
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| Keywords: | Mortgage-backed securities Embedded option Interest rate risk Option adjusted spread |
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