| 我国住房抵押贷款证券化产品定价模型 |
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| 引用本文： | 楼梦丹,陈婷,朱黎强. 我国住房抵押贷款证券化产品定价模型[J]. 石家庄经济学院学报, 2007, 30(1): 82-86 |
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| 作者姓名： | 楼梦丹 陈婷 朱黎强 |
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| 作者单位： | 浙江财经学院,金融学院,浙江,杭州,310018 |
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| 摘 要： | 近年来,随着房地产业的迅猛发展,我国住房抵押贷款余额猛增,这不仅会给银行带来流动性风险,而且使我国住房金融市场的种种潜在的风险与漏洞逐渐地暴露出来。住房抵押贷款证券化(MBS)产品作为改革的切入点已经在我国起步。但是定价问题仍然是关注的焦点和难点。通过比较国外各种MBS定价的方法,根据我国的具体情况,运用蒙特卡罗模拟法,对我国的住房抵押贷款证券化产品进行实证分析,建立自己的测算模型。
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| 关 键 词： | 住房抵押贷款证券化(MBS) 提前偿付 蒙特卡罗模拟 |
| 文章编号： | 1007-6875(2007)01-0082-05 |
| 修稿时间： | 2006-10-16 |
On the Pricing of the Mortgage-backed Security in China |
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| LOU Meng-dan,CHEN Ting,ZHU Li-qiang. On the Pricing of the Mortgage-backed Security in China[J]. Journal of Shijiazhuang University of Economics, 2007, 30(1): 82-86 |
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| Authors: | LOU Meng-dan CHEN Ting ZHU Li-qiang |
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| Abstract: | In recent years,with the rapid development of real estate,housing mortgage loan balances has increased,it will not only cause liquidity risk,but the potential finance market risk and loopholes in housing are gradually exposed.Mortgage-Backed Securities(MBS) product,as the starting point in housing reform,has appeared in China.But pricing remains the focus and difficulty for attention.This paper compares various foreign MBS pricing method.Based on the specific conditions in China,the Monte Carlo simulation method is employed for studying the housing mortgage loan securitization products and establishing its own model. |
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| Keywords: | Mortgage-Backed Securities pre-payment Monte Carlo simulation |
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