摘要
在上世纪 60年代的美国，资产证券化这类产品应运而生，并在欧洲等发
达地区快速发展。我国证券化历程则起步较晚，且受到 2008年全球金融危机
的影响，发展一度停滞不前；直到 2014年才重新启动，近几年发展迅速。因
此，在这样的背景下，我们有必要对资产支持证券化的发展进行更加深入的
研究，以免再次引发金融危机。近几年随着我国经济的不断发展，证券市场
也开始呈现新的状态，其中个人住房抵押贷款资产支持证券大量出现，目前
仍处于探究阶段。
本文首先对资产支持证券进行了基本介绍，主要包括资产支持证券的运
行原理和交易机制，通过回顾近些年我国个人住房抵押贷款支持证券（以下
简称 RMBS）的发展历程，讨论了 RMBS产品在我国证券化发展过程中会遭
受的相关风险：早偿风险、信用风险、违约风险和相关法律风险等。
随后，本文对住房抵押贷款证券化早偿行为的影响因素进行了分析，主
要包括传统观念、贷款利率、居民收入水平和房价等对早偿行为的影响。并
收集了 2005年~2020年 6月发行的全市场 100余单 RMBS产品每期受托机
构报告中的相关数据，计算出了早偿率及其年化数据，对早偿率趋势变化进
行了分析。
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此外，本文讨论了住房抵押贷款目前比较常用的定价方法，主要分析了
住房抵押贷款未来的现金流情况以及折现率的选择。在对比之下，发现基于
CIR模型对 RMBS进行蒙特卡罗的模拟定价可以使最终的证券定价更加准
确。因为我国目前证券化市场还不完善，相关数据信息不是很全面，所以本
文主要研究的是普遍的房屋贷款等额偿还的情况。
最后，本文通过对“建元 2018-1”RMBS的 A-1档证券进行实证分析，在
考虑了提前偿还行为的影响下，得到定价方法的选取对 RMBS产品定价的误
差，并考虑了提前付款因素对定价结果的影响。通过使用静态现金流贴现定
价法、静态利差法以及蒙特卡洛模拟法对“建元 2018-1”资产证券化产品的 A-
1档证券进行了定价，最终发现利用蒙特卡洛模拟法得出的定价结果误差更
小，对住房抵押贷款证券的定价更为准确以及在考虑了早偿因素后，定价的
误差会更小。
关键词：个人住房抵押贷款支持证券；早偿风险；利率期限结构模型；提前
偿还现金流；蒙特卡洛模拟。
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Abstract
With economic development in recent years, the securities market has begun
to show a new state, in which a large number of forms of asset-backed mortgage-
backed securities. The idea of asset securities was first introduced in America in
the 1960s.The birth of this kind of innovative securitization products has opened
up a new source of funds for invigorating the housing industry. Currently, the
development of securitization in China is still in its infancy, combined with the fact
that the financial crisis in 2008 led to the stagnation of securitization for a long time.
Therefore, it is necessary for us to do more thorough research on the development
of asset-backed securitization in order not to trigger the financial crisis again.
First of all, this paper gives a basic introduction to asset-backed securities,
including the operating principle and trading mechanism of asset-backed securities,
and reviews the development of personal housing pledged securities (hereinafter
referred to as RMBS) in China in recent years. It also discusses the related risks
that RMBS products will suffer in the process of securitization in China: early
payment risk, credit risk, default risk and related legal risks.
Next, this paper analyzes the factors influencing mortgage prepayment
behavior. It mainly includes the influence of traditional concept on early payment
behavior, loan interest rate, residents' income levels, house prices and other factors.
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