竞争风险模型在住房抵押贷款证券定价中的应用研究  

Application of Competing Risk Model in Housing Mortgage-Backed Securities Pricing

作　　者：许永龙[1] 胡天彤[1] 

机构地区：[1]天津师范大学管理学院,天津300384

出　　处：《天津师范大学学报（自然科学版）》2006年第4期54-57,共4页Journal of Tianjin Normal University：Natural Science Edition

基　　金：国家自然科学基金资助项目(70072039);天津市自然科学基金资助项目(013605411)

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.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.

关 键 词：住房抵押贷款证券 提前偿付 违约 竞争风险模型 

分 类 号：F830[经济管理—金融学]