| 竞争风险模型在住房抵押贷款证券定价中的应用研究 |
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| 引用本文： | 许永龙,胡天彤.竞争风险模型在住房抵押贷款证券定价中的应用研究[J].天津师范大学学报(自然科学版),2006,26(4):54-57. |
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| 作者姓名： | 许永龙 胡天彤 |
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| 作者单位： | 天津师范大学,管理学院,天津,300384 |
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| 基金项目： | 国家自然科学基金;天津市自然科学基金 |
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| 摘 要： | 在阐述提前偿付与违约风险测量模型的基础上，探讨了竞争风险模型在住房抵押贷款证券定价过程中的应用．指出，提前偿付与违约风险是住房抵押贷款证券投资者面临的主要风险，对其进行准确的度量是住房抵押贷款证券正确定价的前提．
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| 关 键 词： | 住房抵押贷款证券 提前偿付 违约 竞争风险模型 |
| 文章编号： | 1671-1114(2006)04-0054-04 |
| 修稿时间： | 2005年4月7日 |
Application of Competing Risk Model in Housing Mortgage-Backed Securities Pricing |
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| XU Yong-long,HU Tian-tong.Application of Competing Risk Model in Housing Mortgage-Backed Securities Pricing[J].Journal of Tianjin Normal University(Natural Science Edition),2006,26(4):54-57. |
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| Authors: | XU Yong-long HU Tian-tong |
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| Abstract: | The application of competing risk model in the pricing of housing mortgage-backed securities is discussed based on measuring models of prepayment and default.It is put forward that prepayment and default are the main risks which face the investors of housing mortgage-backed securities,and on the premise of accurate measuring for the risk of prepayment and default housing mortgage-backed securities can be priced precisely. |
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| Keywords: | housing mortgage-backed securities prepayment default competing risk model |
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