抵押贷款证券化产品定价:提前偿付概率模型  

On the Pricing of Mortgage Backed Securities:Prepayment Model

作　　者：刘乔志[1] 范为[1,2] 黄裕心[1] 

机构地区：[1]电子科技大学经济与管理学院,成都610054 [2]宏源证券投资银行,北京100044

出　　处：《价值工程》2008年第10期158-164,共7页Value Engineering

摘　　要：对抵押贷款证券化产品(MBS)定价的关键性因素——提前偿付率的基本理论、定价模型框架进行了系统性分析,提出了更符合国内实际情况的部分提前还款率模型和全部提前还款率模型,使用季节性、贷款信息、借款人信息等多个变量,设定LOGISTIC回归对提前偿付率模型进行了有益探讨。This study focuses on the theoretical and practical model of prepayment, which is one of the main factors for pricing Mortgage Backed Securities （MBS）. We bring forward the partial prepayment model and total prepayment model, and use LOGISTIC regression to simulate the prepayment model., considering seasons, loan information, borrower information, and so on, as the explain variables.

关 键 词：抵押贷款证券化 部分提前偿付率模型 全部提前还款率模型 LOGISTIC回归 

分 类 号：F830.91[经济管理—金融学]