資產(chǎn)證券化的風險博弈分析與定價研究.pdf

1、首都經(jīng)濟貿易大學碩士學位論文資產(chǎn)證券化的風險博弈分析與定價研究姓名：楊柏松申請學位級別：碩士專業(yè)：數(shù)量經(jīng)濟學指導教師：王文舉20100301首都經(jīng)濟貿易大學碩士學位論文《資產(chǎn)證券化的風險博弈分析與定價研究》IIABSTRACTThefinancialcrisisstartedin2007tocombattheglobalfinancialmarketsmakesthewldeconomycontinuestodeclineuptonow

2、.Governmentshaveintroducedarescuepackagetostimulateeconomicgrowth.Theproductoffinancialinnovationsubprimemtgageloansecuritizationappearedinthe70yearslastcenturyisthechiefculpritofthefinancialcrisis.Theratingagenciesplaye

3、dfueledroleinthemeantime.ThefinancialmarketsofourcountyareinastageofvigousdevelopmentassetsecuritizationinChinaisstillayoungproductasanimptantfinancingtoolwhichhasbroadprospectsfdevelopment.Theoutbreakofthiscrisiswarnedu

4、s:theresearchcontrolofassetsecuritization’sriskisparticularlyimptant.Theresearchoftheriskcontrolmethodspricingisofgreatpracticalsignificancewillprovideaguidingroletopracticaloperation.Thispaperhasfiveparts:thefirstpartis

5、anintroductionthebackgroundtothestudyofthisarticlewiththedomesticinternationalliteraturereview.Thesecondpartdescribestherelevanttheyofassetsecuritization.PartIIIisriskanalysisintheprocessofassetsecuritization.Myarticlefo

6、cusesonthesubprimerelatedproductsthefmationmechanismstoanalyzetheoperationalrisksofassetsecuritizationftheiginalassetqualityriskthirdpartyrisksinthispart.PartIVisthepricingofassetsecuritizationontheuseofcreditratingtrans

7、itionmatrix.PartVcontainsconclusionsfurtherresearchdirections.Thispaperhasthreeinnovations:Firstlyitanalysisthequalityoftheunderlyingassetaccdingtoprincipalagenttheybuildaprincipalagentmodelbetweentheassetsalesecuritizat

8、ionofinvestment.Secondlywiththehelpofgametheyshowtheideologicalprinciplesthearticledesignsamechanismmodeltorestrictthethirdparty.Finallyusingtheincomecapitalizationprincipletheeconometricsapplicationofstochasticprocesses