其次，建立完美風(fēng)險(xiǎn)管理策略。在利率市場(chǎng)化和資產(chǎn)證券化的背景下，住房金融事業(yè)部也將逐步開(kāi)展衍生品交易業(yè)務(wù)，建議采用完美風(fēng)險(xiǎn)管理策略管理利率風(fēng)險(xiǎn)、違約風(fēng)險(xiǎn)和預(yù)付風(fēng)險(xiǎn)：（1）使用可贖回債券與利率互換期權(quán)對(duì)沖違約風(fēng)險(xiǎn)和預(yù)付風(fēng)險(xiǎn)。有漏洞的風(fēng)險(xiǎn)管理策略是導(dǎo)致政府贊助企業(yè)在危機(jī)中巨額虧損的原因，而非其對(duì)金融工具的使用。住房金融事業(yè)部應(yīng)充分利用金融工具的對(duì)沖功能降低風(fēng)險(xiǎn)暴露。（2）要求衍生品合約交易對(duì)手提供抵押品。盡管交易對(duì)手違約出現(xiàn)的可能性較低，但基于美國(guó)住房政府贊助企業(yè)的經(jīng)驗(yàn)，住房金融事業(yè)部應(yīng)為可能出現(xiàn)的金融市場(chǎng)波動(dòng)做好準(zhǔn)備。（3）在經(jīng)濟(jì)環(huán)境穩(wěn)定的時(shí)期尋求備選的衍生品交易對(duì)手。在危機(jī)出現(xiàn)時(shí)，住房金融事業(yè)部可與事先協(xié)商好的衍生品交易對(duì)手以約定的價(jià)格簽訂新的衍生品合約，降低交易對(duì)手更換風(fēng)險(xiǎn)，及時(shí)調(diào)整衍生品頭寸。（4）謹(jǐn)慎管理生息資產(chǎn)與付息負(fù)債的久期缺口?？紤]到住房金融事業(yè)部將主要向投資者發(fā)行長(zhǎng)期的住房金融債，其久期缺口管理應(yīng)比政府贊助企業(yè)更易管理。（5）實(shí)施完美對(duì)沖策略將利率風(fēng)險(xiǎn)最小化。由于住房金融事業(yè)部由政府支持，其有責(zé)任保護(hù)納稅人的利益?？赡軗p失最小化的途徑之一就是盡可能降低其自身的風(fēng)險(xiǎn)暴露。

第三，主動(dòng)運(yùn)用市場(chǎng)化手段。國(guó)家開(kāi)發(fā)銀行的成功在很大程度上得益于與傳統(tǒng)政策性銀行不同的經(jīng)營(yíng)方式，在開(kāi)發(fā)性金融的框架下，實(shí)施市場(chǎng)化、商業(yè)化的經(jīng)營(yíng)管理模式。政策性住房金融業(yè)務(wù)要持續(xù)發(fā)展，也需要防范信貸風(fēng)險(xiǎn)、保證貸款的回收和必要的收益。例如，住房金融事業(yè)部可以考慮發(fā)行抵押貸款證券來(lái)提高其資金周轉(zhuǎn)率，向市場(chǎng)轉(zhuǎn)移利率風(fēng)險(xiǎn)與預(yù)付風(fēng)險(xiǎn)。盡管中國(guó)抵押貸款市場(chǎng)仍不成熟，但住房金融事業(yè)部可以擔(dān)負(fù)起主導(dǎo)或促進(jìn)建立中國(guó)抵押貸款證券一級(jí)市場(chǎng)與二級(jí)市場(chǎng)發(fā)展的職能。

（本文系國(guó)家社會(huì)科學(xué)基金項(xiàng)目“日本量化寬松政策溢出效應(yīng)與東亞主要經(jīng)濟(jì)體貨幣政策協(xié)調(diào)研究”的階段性成果，項(xiàng)目編號(hào)為13BGJ042；美國(guó)伊利諾伊大學(xué)香檳分校經(jīng)濟(jì)學(xué)博士研究生岳旸對(duì)此文亦有貢獻(xiàn)）

注釋

①這種現(xiàn)象可以歸因?yàn)椴煌仕较聦?shí)際預(yù)付比率的凸性。

②數(shù)據(jù)來(lái)源為2013年房利美年度報(bào)告。

③Delta對(duì)沖保證當(dāng)資產(chǎn)價(jià)格經(jīng)歷微小波動(dòng)時(shí)組合價(jià)值不變。

④聯(lián)邦基金利率可以用來(lái)反映市場(chǎng)借款成本。

⑤數(shù)據(jù)來(lái)自美國(guó)證券業(yè)與金融市場(chǎng)協(xié)會(huì)網(wǎng)站，http://www.sifma.org。

⑥數(shù)據(jù)來(lái)源聯(lián)邦住房金融局2010年度國(guó)會(huì)報(bào)告，http://www.fhfa.gov。

參考文獻(xiàn)

Becketti, S., 1989, "The Prepayment Risk of Mortgage-backed Securities",  Economic Review, pp43-57.

Demyanyk, Y., & Van Hemert, O.,  2008,  "Understanding the Subprime Mortgage Crisis",  Retrieved from Federal Deposit Insurance Corporation: http://www.fdic.gov/bank/analytical/cfr/2008/mar/CFR_SS_2008_DemyanykHemert.pdf.

DiVenti, T. R., 2009, "Fannie Mae and Freddie Mac: Past, Present, and Future",Policy Briefs, pp231-242.

Fannie Mae., 2001-2013, Fannie Mae 10-K Report, Retrieved from Fannie Mae: http://www.fanniemae.com/portal/about-us/investor-relations/annual-reports-proxy-statements.html.

Fannie Mae., 2011, "Fannie Mae Debt Securities", Retrieved from Fannie Mae: http://www.fanniemae.com/resources/file/debt/pdf/understanding-debt/Callable_Brochure.pdf.

Federal Housing Finance Agency, 2011, Report to Congress, Washington D.C.: Federal Housing Finance Agency.

Federal Housing Finance Agency,  2013, The Housing Government-Sponsored Enterprises' Challenges in Managing Interest Rate Risks, Washington D.C.: Federal Housing Finance Agency.

Hubbard, R. G., 2003, "Evaluating Liquidity Risk Management at Fannie Mae", Fannie Mae Papers, Volumn II, Issue 5.

Jaffee, D. July 2002, "The Interest Rate Risk of Fannie Mae and Freddie Mac", Retrieved from UC Berkeley Haas Business School : http://faculty.haas.berkeley.edu/jaffee/Papers/FFJuly31.pdf.

Poole, W., 2005, "GSE Risks", Federal Reserve Bank of St. Louis Review, pp85-91.

Schmid, F. A., 2005, "Stock Return and Interest Rate Risk at Fannie Mae and Freddie Mac. Federal Reserve Bank of St", Louis Review, pp35-48.

Thomas, J., & Van Order, R, March 2011, "A Closer Look at Fannie Mae and Freddie Mac: What We Know, What We Think We Know and What We Don't Know", Retrieved from George Washington University Business: http://business.gwu.edu/creua/research-papers/files/fannie-freddie.pdf.

United States Senate Committee on Banking, Housing, and Urban Affairs, 2014, "Summary of Senate Banking Committee Leader' Bipartisan Housing Finance Reform Draf", Retrieved from United States Senate Committee on Banking, Housing, and Urban Affairs: http://www.banking.senate.gov/public/_files/SummaryoftheBipartisanHousingFinanceReformDraft_update.pdf.

Weicher, J. C., November 2010, "The Affordable Housing Goals, Homeownership and Risk: Some Lessons from Past Efforts to Regulate the GSEs", Retrieved from St. Louis Federal Reserve: http://research.stlouisfed.org/conferences/gse/Weicher.pdf.

Research on the Risk Accumulation of the US Housing Financial Market
Guo Mingshe  Guo Hongyu
Abstract: In this paper, we conducted both qualitative and quantitative analysis of the risk management tools and practices of the US housing GSEs (government-sponsored enterprises). It was found that the reasons for the risk accumulation of the GSEs in the subprime mortgage crisis are: (1) to reduce costs when using the risk management tools, the GSEs adopted the imperfect hedging strategy; (2) to pursue high returns, they took advantage of their relatively lower financing costs and bought private standard mortgage bonds in order to benefit through arbitrage; (3) while there was no reasonable pathway to attain the target, they pressured the government about the regulatory objectives, leading to the expansion of risk exposure. This paper thinks that the profits-reaping acts of the policy-related financial institutions will increase the credit risk, and ignoring the pathway to achieve the regulatory objectives is the latent danger behind the accumulation of risk. Therefore, China's policy-related housing financial institutions should improve their self-regulatory capacity in order to establish a perfect risk management strategy.
Keywords: housing GSEs, the Subprime Crisis, policy-related housing finance, risk management

郭明社，國(guó)家開(kāi)發(fā)銀行規(guī)劃總監(jiān)兼信貸局局長(zhǎng)、高級(jí)會(huì)計(jì)師。研究方向?yàn)殂y行信貸管理。郭紅玉，對(duì)外經(jīng)濟(jì)貿(mào)易大學(xué)金融學(xué)院教授、博導(dǎo)。研究方向?yàn)樨泿耪吲c銀行信貸管理。主要著作有《股份制與股份有限公司》《適度從緊的貨幣政策操作與實(shí)施》《國(guó)債宏觀經(jīng)濟(jì)效應(yīng)研究》《財(cái)政貨幣政策協(xié)調(diào)配合的路徑研究》等。