其次，建立完美风险管理策略。在利率市场化和资产证券化的背景下，住房金融事业部也将逐步开展衍生品交易业务，建议采用完美风险管理策略管理利率风险、违约风险和预付风险：（1）使用可赎回债券与利率互换期权对冲违约风险和预付风险。有漏洞的风险管理策略是导致政府赞助企业在危机中巨额亏损的原因，而非其对金融工具的使用。住房金融事业部应充分利用金融工具的对冲功能降低风险暴露。（2）要求衍生品合约交易对手提供抵押品。尽管交易对手违约出现的可能性较低，但基于美国住房政府赞助企业的经验，住房金融事业部应为可能出现的金融市场波动做好准备。（3）在经济环境稳定的时期寻求备选的衍生品交易对手。在危机出现时，住房金融事业部可与事先协商好的衍生品交易对手以约定的价格签订新的衍生品合约，降低交易对手更换风险，及时调整衍生品头寸。（4）谨慎管理生息资产与付息负债的久期缺口。考虑到住房金融事业部将主要向投资者发行长期的住房金融债，其久期缺口管理应比政府赞助企业更易管理。（5）实施完美对冲策略将利率风险最小化。由于住房金融事业部由政府支持，其有责任保护纳税人的利益。可能损失最小化的途径之一就是尽可能降低其自身的风险暴露。
第三，主动运用市场化手段。国家开发银行的成功在很大程度上得益于与传统政策性银行不同的经营方式，在开发性金融的框架下，实施市场化、商业化的经营管理模式。政策性住房金融业务要持续发展，也需要防范信贷风险、保证贷款的回收和必要的收益。例如，住房金融事业部可以考虑发行抵押贷款证券来提高其资金周转率，向市场转移利率风险与预付风险。尽管中国抵押贷款市场仍不成熟，但住房金融事业部可以担负起主导或促进建立中国抵押贷款证券一级市场与二级市场发展的职能。
（本文系国家社会科学基金项目“日本量化宽松政策溢出效应与东亚主要经济体货币政策协调研究”的阶段性成果，项目编号为13BGJ042；美国伊利诺伊大学香槟分校经济学博士研究生岳旸对此文亦有贡献）
注释
①这种现象可以归因为不同利率水平下实际预付比率的凸性。
②数据来源为2013年房利美年度报告。
③Delta对冲保证当资产价格经历微小波动时组合价值不变。
④联邦基金利率可以用来反映市场借款成本。
⑤数据来自美国证券业与金融市场协会网站，http://www.sifma.org。
⑥数据来源联邦住房金融局2010年度国会报告，http://www.fhfa.gov。
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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，国家开发银行规划总监兼信贷局局长、高级会计师。研究方向为银行信贷管理。郭红玉，对外经济贸易大学金融学院教授、博导。研究方向为货币政策与银行信贷管理。主要著作有《股份制与股份有限公司》《适度从紧的货币政策操作与实施》《国债宏观经济效应研究》《财政货币政策协调配合的路径研究》等。
