| 考虑违约风险的固定利率抵押贷款支持证券三因素定价模型 |
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| 引用本文： | 王明好,陈忠,李丽.考虑违约风险的固定利率抵押贷款支持证券三因素定价模型[J].上海交通大学学报,2006,40(4):628-631. |
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| 作者姓名： | 王明好 陈忠 李丽 |
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| 作者单位： | 1. 上海交通大学,安泰经济与管理学院,上海,200052
2. 中国社会科学研究院,研究生院,北京,100102 |
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| 基金项目： | 高等学校博士学科点专项科研项目 |
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| 摘 要： | 对Kariya等的模型进行了扩展,把抵押贷款市场利率、短期无风险利率和房屋价格视为3个风险来源,考虑了贷款市场利率下降引起的提前偿还风险、房屋价格上升引起的提前偿还风险和房屋价格下降引起的违约风险,建立了固定利率抵押贷款支持证券的三因素定价模型.该模型对我国住房抵押贷款证券化具有一定的参考作用.
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| 关 键 词： | 固定利率抵押贷款 抵押贷款支持证券 提前偿还 违约 |
| 文章编号： | 1006-2467(2006)04-0628-04 |
| 收稿时间： | 2005-03-12 |
| 修稿时间： | 2005年3月12日 |
A 3-Factor Pricing Model with Default Risk for Fixed Rate Mortgage-Backed Securities |
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| WANG Ming-hao,CHEN Zhong,LI Li.A 3-Factor Pricing Model with Default Risk for Fixed Rate Mortgage-Backed Securities[J].Journal of Shanghai Jiaotong University,2006,40(4):628-631. |
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| Authors: | WANG Ming-hao CHEN Zhong LI Li |
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| Institution: | 1. Antai School of Economics and Management, Shanghai Jiaotong Univ. ,Shanghai 200052, China; 2. Graduate School,The Chinese Academy of Social Sciences,Beijing 100102 |
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| Abstract: | Taking the mortgage interest rate,short-term interest and house price as three risk sources,and considering not only the prepayment risk induced by decline of mortgage rate and rise of house price,but also the default risk induced by decline of house price,this paper extended the paper of Kariya et al in 2000,and developed a 3-factor pricing model for fixed rate mortgage-backed securities.The model can provide some reference for Chinese mortgage securitization. |
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| Keywords: | fixed rate mortgage mortgage-backed security prepayment default |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
