文档介绍：对外经济贸易大学
硕士学位论文
基于住房抵押贷款证券化(MBS)风险的定价研究
姓名:段利华
申请学位级别:硕士
专业:金融学
指导教师:蒋先玲
20040401
内容提要
虽然目前我国尚未发行 MBS 但无论从理论上还是实践上而言都完全有必要
深入了解 MBS 的定价原理这也是为我国建立与发展住房抵押贷款二级市场的一
个必要准备根据国外经验住房抵押贷款的成熟发展最终需要在一级市场的基础
上建立住房抵押贷款二级市场实现 MBS
近些年来国内理论界和实务界对 MBS 的探讨正在方兴未艾之中关于 MBS
的概念已不再是一个新鲜事物而我国尚没有真正意义上的证券化实践其原因主
要在于法律方面存在障碍法律界的专家和学者对此方面已进行了深入的研究和探
讨并有了多部著作 MBS 的概念功能分类参与者运作程序等也在国内很
多著作期刊网站等媒体上有着详尽的介绍但国内在 MBS 定价领域的研究比
较欠缺介绍定价方面的书籍不多尽管有些涉及到定价方面的文献但多过于简
略缺少一种能以适当篇幅和详略程度对 MBS 定价进行介绍的文章本文正是对
这种缺陷作了一些弥补性的贡献在综合已有的研究成果的基础上对 MBS 这种
金融工具从风险特征风险计量现金流量的生成价值生成等进行了探索和总结
任何证券的价格都应等于该证券潜在现金流的折现值之和由于潜在的现金流
具有不确定性即风险所以文章的第一章探讨了有关 MBS 的风险文章第二章
讲述了基于风险的定价方法及其效率分析结论部分指出了我国在推行之
初应以基于到期收益率的 MBS 定价法进行定价待经验数据积累充分抵押贷款
申请人个人信息的标准化资料收集完善我们就可以采用精确程度较高的期权调整
利差模型进行定价
ABSTRACT
The theory of MBS has been introduced into China for some years, but there’s no
practice on MBS. The main reason is that the principle of law on MBS is nearly vain.
Legal experts have been discussing such questions. And many economists have answered
the concept, function, classification, organization, participants, etc, on MBS, but ignoring
the theory of pricing on MBS in China. The thesis establishes some pricing models to
make up for the ignorance.

The thesis has two main sections, one summarizing the various risks on MBS. The value
of any security is equal to Present Value (NPV) of its future cash flow, and it’s
uncertain to know the exact quantity of its future cash flow, that’s to say, there’re risks in
the security. So the description of various risks is the premise for the pricing of MBS.
The other one introduces the pricing model of MBS. China doesn’t make the practice of
MBS, but it’s necessary for us to learn the pricing principles of MBS.

Chapter3 and conclusion point that China should make use of the easy but not accurate
pricing methods, such as the Pricing Model of Rate of Maturity to evaluate the price of
MBS at the beginning of MBS at the beginning of the MBS.