住房抵押贷款支持证券定价理论的发展  

Development of Pricing Theory of MBS

作　　者：陈颖[1] 屠梅曾[1] 

机构地区：[1]上海交通大学管理学院

出　　处：《经济管理》2006年第6期74-81,共8页Business and Management Journal ( BMJ )

基　　金：国家自然科学基金项目(项目编号:70341015)。

摘　　要：本文介绍了传统的住房抵押贷款支持证券(MBS)的定价理论,着重探讨了MBS定价的计量经济方法,对其在理论上、实践中以及模型方面的发展都做了详细的介绍和阐述,目的在于对我国近期内将出现的住房抵押贷款的衍生金融产品的定价问题起到指导和借鉴作用。The paper gives a general review of theoretical and empirical study on pricing of MBS （Mortgage backed securities） from the traditional pricing theory of MBS. The econometrics method has been emphasized. In this paper, default risk, prepayment risk and mortgagor＇s heterogeneity are all regarded as the important factors of pricing. Then we compared with several term structure models that can be used in pricing of MBS.

关 键 词：定价 提前还款风险 违约风险 抵押贷款支持证券(MBS) 

分 类 号：F830[经济管理—金融学]