美国次级住房抵押贷款证券违约风险因素研究.pdf

对外经济贸易大学
硕士学位论文
美国次级住房抵押贷款证券违约风险因素研究
姓名:马欣
申请学位级别:硕士
专业:金融学
指导教师:何丽芬
20080401
摘要

近年来,美国次级抵押贷款市场的发展带动了美国经济繁荣,在经济稳定增
长时期,较低的利率和房地产价格的增长使得次级住房抵押贷款证券日益受到投
资者的青睐。但是随着美联储的持续加息以及住宅房地产价格的回落,该证券中
所蕴含的违约风险开始逐渐显现出来,并迅速扩散,以致引发了殃及全球金融市
场的次级抵押贷款危机。
本文从违约风险的产生、传播和扩散的角度对次级住房抵押贷款证券的违约
风险因素进行了分析,指出由于基础资产的质量、经济环境的变化、证券化结构
以及相关金融机构的运作等条件的共同作用,使得证券中所蕴含的违约风险得以
体现并不断放大,最后本文提出了我国在证券化进程中应注意的一些问题。



关键词:次级住房抵押贷款,证券化结构,违约风险
Abstract

In recent years, the development of sub-prime mortgage market has driven the
economic boom in the United States. With the economy steadily growing, the
sub-prime mortgage securities have e increasingly popular with investors due to
the low interest rate and the rising price of the real estate market. However, as the
federal funds rate rises and the prices of residential real estate drop, the default risk
embedded in the sub-prime mortgage securities has emerged and pervaded rapidly, and
even resulted in the sub-prime crisis in the whole financial market.
This paper analyzed the factors that caused the default risk in the sub-prime
mortgage securities from the aspect of how the default risk generated, spread and
pervaded. It pointed out that there are several factors such as the quality of the
underlying property, the changes of the economic environment, the structure of the
securitization and the operation of some financial institutions that have contributed to
the emergence and magnification of the default risk in the securities. And it finally put
forward some suggestions for the securitization in China.

Keywords: Sub-prime Mortgage,Structure of Securitization,Default Risk
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