The Risk Management Research Of Our Country Mortgage-backed Securities

Mortgage-backed Securities(MBS)is one of the most important financial innovation tools in international financial markets in the past 40 years. With the success of"Jianyuan 2005-1MBS", MBS have been playing an important role in many aspects. However, the development of asset securitization is still in the initial and exploratory stage, in which will face many risks. The lesson of financial crisis is painful, so we can't blind optimism to operate mechanically with many advantages of MBS, and we can't penal because it contains a great risk. In May 20, 2009 the China Banking Regulatory Commission Chairman Liu advanced developing asset securitization prudently. Therefore, the risk prevention has become the major task in the process of MBS.Firstly, this article analyzes the basic theory of MBS. Secondly, this article systematically analyzes the basic concepts and effect factor of two major risks which is prepayment risk and credit risk in MBS, and set up our prepayment risk measurement model combined with SMM model and multi-factor regression method. Thirdly, summarize experience of risk prevention and lessons of the subprime crisis in the United States, and study the case of China "Jianyuan 2005-1MBS ", and then establish a prepayment model with specific data, at the same time analyzes other issues in risk Management. Finally, proposed forward countermeasures and suggestions for the risk prevention and management.For early repayment of risk management: strengthen the loan approval process, establish punishment mechanism, innovate mortgage loan business, establish the statistical system and measurement model, and innovation securities varieties under guide of advanced technology; For credit risk management: establish a nationwide personal credit system, establish an effective incentive mechanism and use internal and external credit enhancement methods to manage credit risk; For the other risk prevention: increase the government's guidance and support, establish a sound laws and regulations related terms; regulators should draw lessons from the U.S sub-prime mortgage crisis seriously, and strengthen the regulation in area of MBS; In addition, press the market-oriented interest rate system timely, so that MBS have a reasonable interest rate structure, restructure income and redistribute the effectiveness of risk will put up in effect; Finally, introduce multi-institutional investors to diversify MBS investment risk and avoid risk accumulate in a small number of investors.