管理评论

管理评论 ›› 2023, Vol. 35 ›› Issue (6): 46-56.

• 经济与金融管理 • 上一篇    下一篇

住房抵押贷款资产支持证券的临界违约风险分析

孟祥莺1,2, 任新辉3, 方金金3, 魏先华4   

  1. 1. 中国农业银行博士后科研工作站, 北京 100005;
    2. 中国人民大学统计与大数据研究院, 北京 100872;
    3. 中国农业银行, 北京 100005;
    4. 中国科学院大学经济与管理学院, 北京 100190
  • 收稿日期:2020-11-17 发布日期:2023-07-27
  • 通讯作者: 孟祥莺(通讯作者),中国农业银行博士后、中国人民大学统计与大数据研究院博士后,博士。
  • 作者简介:任新辉,中国农业银行高级经济师;方金金,中国农业银行高级经济师,博士;魏先华,中国科学院大学经济与管理学院教授,博士生导师,博士。
  • 基金资助:
    国家自然科学基金重点项目（71932002；71932008）。

Critical Default Risk Analysis of RMBS

Meng Xiangying1,2, Ren Xinhui3, Fang Jinjin3, Wei Xianhua4   

  1. 1. Postdoctoral Research Station of Agricultural Bank of China, Beijing 100005;
    2. Institute of Statistics and Big Data, Renmin University of China, Beijing 100872;
    3. Agricultural Bank of China, Beijing 100005;
    4. School of Economics and Management, University of Chinese Academy of Sciences, Beijing 100190
  • Received:2020-11-17 Published:2023-07-27

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摘要： 本文以国内商业银行发行的个人住房抵押贷款资产支持证券（RMBS）作为样本，从宏观环境、基础资产质量、借款人特征三个维度筛选早偿风险的主要影响因素，基于PHM模型预测RMBS早偿率，并和违约率、违约分布等压力参数构建现金流压力模型，得到RMBS的临界违约风险。本文研究表明：RMBS优先级证券在当前市场环境下的临界违约率远高于历史平均水平，但不同档级的优先级证券普遍出现保护层在临界违约率下同时被击穿的情况，表明RMBS的不同优先级对临界违约风险的承受能力相同，这一结论为商业银行衡量RMBS临界违约风险和分析信用风险溢价提供了新的证据。

关键词: RMBS, 早偿风险, 临界违约率, 现金流压力测试

Abstract: In this paper, we use the data of residential mortgage-backed securities (RMBS) issued by domestic commercial banks as sample to screen the main influencing factors of prepayment risk from three dimensions: macro environment, base asset quality and characteristics of borrowers. Then we construct a cash flow stress test model which includes stress factors such as default rate, default distribution, prepayment rate and other factors, and calculate the corresponding critical default risk. The empirical result demonstrates that the critical default rate of RMBS senior notes is much higher than the historical average level of default rate given the current condition. However, the protective layers of different tranches of RMBS senior notes tend to be broken simultaneously at critical value, indicating that different tranches have the same level of tolerance for default risk. This conclusion provides evidence for commercial banks to measure critical default risk and analyze credit risk premium of RMBS.

Key words: RMBS, prepayment risk, critical default rate, cash flow stress test