MBS利率风险分析及定价模型修正  

作　　者：王金媛[1] 王春棣[1] 张启文[1] 

机构地区：[1]东北农业大学经济管理学院

出　　处：《企业经济》2016年第1期183-187,共5页Enterprise Economy

基　　金：黑龙江省社会科学基金项目"利率市场化对商业银行的影响及对策研究"(项目编号:14B078)

摘　　要：银行可以借助住房抵押贷款支持证券(MBS)来降低风险资产的比重,改善银行自身的资产负债比例,有效地扩大融资渠道以及合理分散房地产市场面临的金融风险。但是,MBS自身具有期权的性质,在利率下降的情况下贷款人有权提前偿付贷款,从而引发提前偿付风险;在利率上升时,住房抵押贷款机构面临延期风险。在静态现金流量报酬率法(SCFY)的基础上,采用不同权重加权平均法来确定提前偿付率,并根据发行的不同期限国债分层确定MBS定价时所需要的贴现因子,对MBS的定价模型进行修正。最后,为MBS市场健康发展提出了具有参考性的建议。By using mortgage-backed securities, bank can reduce the proportion of risky assets, improve the bank＇s assets and liabilities ratio, and expand the financing channels and disperse the financial risk to the real estate market effectively. But the MBS has the nature of options, and the mortgagee has the right to implement the right to repay loans ahead of time when the interest rate falls, which will trigger prepayment risk; the lending institutions face extension risk when the interest rate rises. In the foundation of static cash flow yield method （SCFY）, the paper uses weight average methodology to determine the rate of prepay, and according to the bond layers in different periods of issuance, determine the discount factor hierarchically to modify MBS pricing model. The referential suggestions has been put forward for the development of MBS market.

关 键 词：MBS 利率风险 提前偿付风险 定价模型 

分 类 号：F832.5[经济管理—金融学]