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MBA硕士毕业论文_国RMBS发行定价分析PDF

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资产证券化是金融领域最重要的创新之一,其中住房抵押贷款支持 证券(RMBS)是全球各国(地区)发行量最大的资产证券化品类。我国的RMBS 发行 起始于2005年,历经2008金融危机后重新开始发展,截至2018年 6月底,已发行规模总计5022.42亿元,2015-2017年,发行金额环比增速 分别为281%,304%和63%,呈迅速扩大态势 。RMBS的发行定价反应了 银行利用房贷资产进行资本周转的成本,在金融监管政策持续趋严的背 景下,商业银行面临表内资产优化、降低风险计提、增加资本持有量, 降低运营 成本的多重压力,因此研究RMBS一级发行定价规律能为商业 银行通过发行RMBS进行融资提供成本预测。 本文在分析全球RMBS市场特征,特别是美国RMBS的结构、一级 定价方法等 基础上,对比分析我国RMBS市场的情况,并深入研究我国 RMBS产品一级发行利率的影响因子。在宏观因素、证券影响因素、资 产池影响因素几个方面构建我国RMBS一级发行定价 模型,并对模型进 行检验和分析。另外,由于建行发行的建元系列产品占据我国RMBS发 行量近一半,因此将建元系列产品和其他主体发行的产品拆分为两个分 样本进行模型验证 。 本文研究发现,根据多元回归模型,年份、是否AAA评级,是否包 含固定摊还型证券,加权平均年限和加权平均贷款账龄这些因子对我国 RMBS一级发行定价影响相对显著。进 一步研究表明建元系列产品的定 价相对偏高,相对不合理,且建元系列产品的一级定价模型解释力相对 非建元系列产品的模型解释力偏低,这很可能是建元系列产品二级市场 流 动性较好,二级对一级定价负反馈的结果。 关键词:RMBS,一级定价,影响因子,建元系列 PRICING ANALYSIS OF RMBS IN CHINESE PRIMARY MARKET ABSTRACT Asset Backed Securitization is one of the most important innovations in the financial field, among which RMBS is the largest asset category in the world. The issuance of RMBS in China started in 2005 and began to develop again after the 2008 financial crisis. By the end of June 2018, the total issuing volume has reached 502.242 billion yuan. From 2015 to 2017, the year-on- year growth rate of the issuing volume was 281%,304% and 63% respectively, showing a rapid expansion trend. The issuing rate of RMBS reflects the turnover cost of capital via mortgage. Under the background of sustained tighter financial regulation policies, commercial bank faces multiple pressure such as asset optimization on books, reducing risk capital requirement, increasing capital holdings, reducing operating costs, etc. The Analysis of RMBS issuing rate can provide prediction of financing cost through RMBS for commercial banks. Based on the analysis of global RMBS market, especially the structure and the pricing method of primary market in the United States. this paper makes a comparative analysis of the RMBS market in China and conducts an in-depth study on the influencing factors of the RMBS issuing rate in primary market. This paper constructs the RMBS pricing model in primary market in terms of macro factors, securities and assets influencing factors, then tests and analyzes the model. In addition, as the Jianyuan series RMBS issued by the China Construction Bank accounted for nearly half of RMBS issuing volume in China, this paper divided Jianyuan series products and other products into two sub-samples for model verification. This study found that, according to the multiple regression model, the factors of year, AAA rating, inclusion of fixed amortized securities, weighted average life and weighted average loan age had a relatively significant impact on the issuing rate of primary market of RMBS in China. Further research shows that the issuing rate of Jianyuan series products are relatively high and unreasonable. Meanwhile, the explanatory power of pricing model of Jianyuan series products is less than other products, the reason may be Jianyuan series products are more liquid in the secondary market, while the secondary market gives the primary market a negative feedback. KEY WORDS: RMBS, primary market price model, influencing factors, Jianyuan series products 目 录 第1章 绪论 ........................................................................................................................................... 1 1.1 研究背景及 意义 ...................................................................................................................... 1 1.2 研究内容 .................................................................................................................................. 2 1.3 研究方法 .................................................................................................................................. 3 1.4 结构安排 .................................................................................................................................. 3 第2章 RMBS国内外市场介绍 ........................................................................................................... 5 2.1 中国资产证券化发展简述 ...................................................................................................... 5 2.1.1 定义 ............................................................................................................................... 5 2.1.2 资产证券化发展历史 ................................................................................................... 5 2.1.3 我国资产证券化市场基础资产类别 ........................................................................... 9 2.2 我国RMBS市场及特征 ........................................................................................................ 11 2.2.1 中国RMBS市场简介 ................................................................................................. 11 2.2.2 中国RMBS交易结构及偿付特征 ......................................................................... 12 2.3 全球RMBS市场简述 ........................................................................................................... 14 2.3.1 欧洲市场 ..................................................................................................................... 14 2.3.2 亚洲及澳洲市场 ......................................................................................................... 16 2.3.3 美国市场 ..................................................................................................................... 17 2.4 美国RMBS一级发行定价方法 ........................................................................................... 22 第3章 我国RMBS发行定价模型及实证设计 ................................................................................ 24 3.1 我国RMBS的定价影响因子 ............................................................................................... 24 3.1.1 宏观要素 ..................................................................................................................... 24 3.1.2 证券要素 ..................................................................................................................... 25 3.1.3 资产池要素 ................................................................................................................. 26 3.2 数据与样本 ............................................................................................................................ 28 3.2.1 样本证券的选择与筛选 ............................................................................................. 28 3.2.2 样本证券的特征描述 ................................................................................................. 28 3.2.3 样本证券的统计描述 ................................................................................................. 31 3.3 变量分析 ................................................................................................................................ 32 3.3.1 变量提出与分析 ......................................................................................................... 32 3.3.2 变量描述 ..................................................................................................................... 39 第4章 实证结果和分析 ..................................................................