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近年来,随着房地产业的迅猛发展,我国住房抵押贷款余额猛增,这不仅会给银行带来流动性风险,而且使我国住房金融市场的种种潜在的风险与漏洞逐渐的暴露出来。住房抵押贷款证券化(MBS)产品作为改革的切入点已经在我国起步。但是定价问题仍然是关注的焦点和难点。本文通过比较国外各种MBS定价的方法,根据我国的具体情况,运用蒙特卡罗模拟法,对我国的住房抵押贷款证券化产品进行实证分析,建立自己的测算模型。
In recent years, with the rapid development of the real estate industry, the rapid growth of the balance of home mortgage loans in our country will not only bring liquidity risk to the banks, but also gradually exposed the potential risks and loopholes in the housing finance market in our country. Mortgage-backed securities (MBS) products as the starting point for the reform have already started in our country. However, the issue of pricing is still the focus and difficulty of concern. This article compares various foreign MBS pricing methods, according to China’s specific conditions, the use of Monte Carlo simulation method, the empirical analysis of China’s mortgage-backed securities products to establish their own measurement model.