| 资产定价模型(CAPM)在住房抵押贷款证券化(MBS)定价中的应用 |
| |
| 引用本文： | 王军武,戴兵. 资产定价模型(CAPM)在住房抵押贷款证券化(MBS)定价中的应用[J]. 基建优化, 2007, 28(5): 111-113 |
| |
| 作者姓名： | 王军武 戴兵 |
| |
| 作者单位： | 武汉理工大学,土木工程与建筑学院,湖北,武汉,430070 |
| |
| 摘 要： | 20世纪80年代以来,住房抵押贷款证券化(MBS)在我国有了长足的发展,为了对住房抵押贷款证券化产品进行合理定价,本文引入CAPM模型来确定正确反应证券风险的贴现率,并且分析了CAPM模型的产生以及发展过程,最后对其进行动态的修正.
|
| 关 键 词： | CAPM 动态修正 风险分析 |
| 文章编号： | 1000-7717(2007)05-0111-03 |
| 修稿时间： | 2007-05-18 |
The Analysis of application for CAPM in MBS |
| |
| WANG Jun-wu,DAI Bing. The Analysis of application for CAPM in MBS[J]. Optimization of Capital Construction, 2007, 28(5): 111-113 |
| |
| Authors: | WANG Jun-wu DAI Bing |
| |
| Affiliation: | WuHan University of technology School of Civil Engineering and Architecture |
| |
| Abstract: | Since 1980s,housing mortgage loan securitization(MBS) had a considerable development in our country,In order to carry on the reasonable fixed price to the housing mortgage loan securitization product,this article introduces the CAPM model to determine the discount rate which can reflect negotiable securities risk correctly,and has analyzed the CAPM model production as well as the developing process,finally carries on the dynamic revision to it. |
| |
| Keywords: | CAPM Dynamic revision Risk analysis |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
