住房抵押支持证券的风险分析及Monte-Carlo模拟  

Analysis and Monte Carlo Simulation of Risk of Mortgage-Backed Security

作　　者：张薇[1] 李然[1] 韩佳鸣[2] 李纯青[3] 

机构地区：[1]西北大学数学学院/经济管理学院,西安710127 [2]西安工程大学电子信息学院,西安710600 [3]西安工业大学经济管理学院,西安710021

出　　处：《西安工业大学学报》2015年第11期910-915,共6页Journal of Xi’an Technological University

基　　金：国家自然科学基金资助(71172133)

摘　　要：针对利率波动的随机性和我国现有的较为活跃的提前偿付行为对住房抵押支持证券的影响,本文运用Monte-Carlo模拟研究了住房抵押支持证券的现金流变化.通过分析影响住房抵押支持证券价格的因素——利率、提前偿付率、违约率,建立相应的CIR随机利率模型和符合我国国情的ARIMA提前偿付率模型.研究结果表明:运用Monte-Carlo模拟可以生成一条随机利率路径,得到住房抵押支持证券未来现金流先增后减.According to the influence of the randomness of interest rate volatility and the existing active prepayment behavior in China on Mortgage-backed securities, this paper studies the cash flow changes in Mortgage-backed securities by using Monte Carlo simulation. Through the analysis of the factors influencing Mortgage-backed securities--interest rate, acceleration rate and the default rate, CIR stochastic interest rate model and ARIMA prepayment rate model conforming to China＇ s national conditions are established. The study show that interest rate path,and that the future cash flow decreases. using Monte-Carlo simulation can generate a random of mortgage-backed securities increases first and then

关 键 词：住房抵押支持证券 随机利率模型 提前偿付率模型 Monte—Carlo模拟方法 

分 类 号：F832.51[经济管理—金融学] F224