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MBS定价方法比较及OAS法在我国的适用性 被引量：1

The Comparison of Several Pricing Methods of MBS and the Applicability of OAS Method in China
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摘要 随着资本市场的发展和商业银行资本证券化的需要,住房抵押贷款在我国必然有很大的发展空间。本文从MBS所具有的特点角度,对MBS的三种定价方法进行了对比,选出OAS法为最优的定价方法,并根据我国实际情况,提出了对OAS法的一些看法。 With the development of capital markets and capital securitization of commercial bank requirements,MBS has big room of development in China.This article starts form the MBS has the characteristics,to contrast three pricing methods of MBS,selects OAS that is the best pricing method.Finally,according to the actual situation in China,put forward some views on the OAS method.
作者 姚冰湜 郭冀德
机构地区 西安理工大学经济与管理学院
出处 《青海师范大学学报（哲学社会科学版）》 2010年第3期31-34,共4页 Journal of Qinghai Normal University(Philosophy and Social Sciences Edition)
关键词 住房抵押贷款证券 定价 期权调整利差法 MBS pricing OAS
分类号 F830 [经济管理—金融学]
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参考文献6

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共引文献29

同被引文献8

  • 1陈蓉,郭晓武.期权调整利差(OAS)及其应用研究[J].统计研究,2005,22(8):44-47. 被引量：17
  • 2Alexander Levin, Andrew Davidson. Prepayment Risk- and Option-Adjusted Valuation of MBS[J]. The Journal of Portfolio Management, 2005, 31 (4).
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  • 8陈渭泉.用Z-Spread进行国债和企业债的相对投资价值分析[R].天相投资顾问有限公司策略报告,2008.

引证文献1

青海师范大学学报（哲学社会科学版）
2010年 第3期

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