本文選題：商業(yè)抵押支持證券　切入點(diǎn)：違約集聚　出處：《華中科技大學(xué)》2014年碩士論文

【摘要】：商業(yè)抵押支持證券指的是將傳統(tǒng)的商業(yè)抵押貸款匯聚形成抵押資產(chǎn)池，然后通過(guò)證券化的過(guò)程，以債券的形式向投資者融資的方式。具有價(jià)格低等特點(diǎn)，它的銷售收入在返還地產(chǎn)擁有者后，結(jié)余的部分用于償還貸款的本息，盈余將作為發(fā)行公司的運(yùn)營(yíng)資本。是除銀行貸款外，地產(chǎn)開發(fā)商籌資的新選擇。近年來(lái)商業(yè)地產(chǎn)發(fā)展較快，因而對(duì)這種新型的證券化產(chǎn)品進(jìn)行定價(jià)研究是有意義的研究。 本文主要考慮商業(yè)抵押證券中的相關(guān)性風(fēng)險(xiǎn)，主要通過(guò)交易參與者模型對(duì)違約的相關(guān)性進(jìn)行分析，，基于JarrowYu的違約相關(guān)性模型，引入指數(shù)衰減函數(shù)對(duì)違約相關(guān)性的模型進(jìn)行了推廣，并分析其聯(lián)合分布函數(shù)和概率密度函數(shù)，但對(duì)于求解帶來(lái)了一定難度。在違約相關(guān)性的度量分析上，通過(guò)Copula函數(shù)對(duì)違約相關(guān)性進(jìn)行刻畫。對(duì)于商業(yè)抵押支持證券的定價(jià)分析，通過(guò)違約相關(guān)性的指數(shù)衰減模型建立了CMBS的定價(jià)模型，并給出違約集聚風(fēng)險(xiǎn)的違約強(qiáng)度分析；同時(shí)給出了Copula相關(guān)性度量下的CMBS的定價(jià)方程，并分析了兩種定價(jià)的異同。 對(duì)于不同方法下給出的定價(jià)方程，Copula相關(guān)性度量下的定價(jià)方程中相關(guān)性較低，給出的方程為近似結(jié)果，而違約集聚條件下的定價(jià)模型中則可以描述更為復(fù)雜的違約相關(guān)性。對(duì)不同的違約相關(guān)性，定價(jià)模型有不同的適應(yīng)性。
[Abstract]:Commercial mortgage-backed securities refers to the traditional commercial mortgage loans to form a pool of mortgage assets, and then through the process of securitization, in the form of bonds to investors.Its sales income is returned to the property owner, the balance is used to repay the principal and interest of the loan, and the surplus will be used as the working capital of the issuing company.Is in addition to bank loans, real estate developers financing new options.In recent years, commercial real estate has developed rapidly, so it is meaningful to study the pricing of this new securitization product.This paper mainly considers the correlation risk in commercial mortgage securities, mainly through the transaction participant model to analyze the correlation of default, based on JarrowYu default correlation model,The exponential attenuation function is introduced to generalize the model of default correlation, and its joint distribution function and probability density function are analyzed.In the metric analysis of default correlation, the correlation of default is described by Copula function.For the pricing analysis of commercial mortgage-backed securities, through the exponential attenuation model of default correlation, the pricing model of CMBS is established, and the default intensity analysis of default agglomeration risk is given. At the same time, the pricing equation of CMBS under Copula correlation measurement is given.And analyzed the similarities and differences between the two pricing.For the pricing equations given under different methods, the correlation of the pricing equations under Copula correlation metric is low, the equation given is approximate results, and the pricing model under default agglomeration conditions can describe more complex default correlation.Pricing models have different adaptability to different default correlation.
【學(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F224;F832.45

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本文編號(hào)：1720115