管理评论

›› 2018, Vol. 30 ›› Issue (7): 26-33.

• 经济与金融管理 • 上一篇    下一篇

个人住房抵押贷款的居民提前还款行为分析与RMBS定价问题研究

李新平1, 邓琳2, 闫妍1,3   

  1. 1. 中国科学院大学经济与管理学院, 北京 100080;
    2. 中国科学院大学中丹学院, 北京 100080;
    3. 中国科学院大数据挖掘与知识管理重点实验室, 北京 100080
  • 收稿日期:2015-12-31 出版日期:2018-07-28 发布日期:2018-07-21
  • 通讯作者: 闫妍(通讯作者),中国科学院大学经济与管理学院副教授
  • 作者简介:李新平,中国科学院大学经济与管理学院博士研究生;邓琳,中国科学院大学中丹学院硕士研究生
  • 基金资助:

    国家自然科学基金项目（71573243）；中科院青年创新促进会基金（2015359）；中国科学院大数据挖掘与知识管理重点实验室开放课题。

Individual Residential Mortgage Loan Prepayment Behavior Analyses and RMBS Pricing Study

Li Xinping1, Deng Lin2, Yan Yan1,3   

  1. 1. School of Economics and Management, University of Chinese Academy of Sciences, Beijing 100080;
    2. Sino-Danish Center for Education and Research, University of Chinese Academy of Sciences, Beijing 100080;
    3. Key Laboratory of Big Data Mining and Knowledge Management, Chinese Academy of Sciences, Beijing 100080
  • Received:2015-12-31 Online:2018-07-28 Published:2018-07-21

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摘要：

本文以国内某商业银行省级分行2015年的1 184笔个人住房抵押贷款作为资金池，并以该资产池为基础发行RMBS。本文研究表明，国内个人住房抵押贷款的居民提前还款行为与国外文献中描述的情况差异很大，因此国内在为RMBS的定价时不能简单套用国外的提前偿还模型。我们首先对资产池中居民的提前还款行为进行分析，得到居民提前还款时间的概率分布，基于agent模拟借款人的还款行为，从而预测得到资金池未来各期的预期现金流收入。利用SV模型拟合债券的到期收益率曲线，将预期现金流折现，实现对RMBS的定价。

关键词: 拓扑网格, RMBS, 定价

Abstract:

This paper establishes a capital pool based on 1184 individual residential mortgage loans of a domestic commercial bank's provincial branch in 2015 and issues RMBS based on the pool. Our researches show that the prepayment behaviors of domestic residents are highly distinguished from the circumstances described in foreign literatures so that it's improper to simply bring in the foreign prepayment models in order to price RMBS. This paper firstly analyzes the residents prepayment behaviors in the capital pool and obtains the probability distribution of residents' prepayment time. Next, it simulates borrowers' prepayment behaviors based on agents in order to predict the expected cash inflow of the pool in each period. By discounting the expected cash flow through the fitting of bond maturity yield curve utilizing SV model, this paper finally achieves the pricing of RMBS.

Key words: topological grid, RMBS, pricing