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  

A 3-Factor Pricing Model with Default Risk for Fixed Rate Mortgage-Backed Securities

作　　者：王明好[1] 陈忠[1] 李丽 

机构地区：[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

出　　处：《上海交通大学学报》2006年第4期628-631,共4页Journal of Shanghai Jiaotong University

基　　金：高等学校博士点科研基金资助项目(20020248020)

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.Taking the mortgage interest rate, short-term interest and house price as three risk sources, ano 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.

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 

分 类 号：F830[经济管理—金融学]