其次，建立完美風險管理策略。在利率市場化和資產證券化的背景下，住房金融事業部也將逐步開展衍生品交易業務，建議采用完美風險管理策略管理利率風險、違約風險和預付風險：（1）使用可贖回債券與利率互換期權對沖違約風險和預付風險。有漏洞的風險管理策略是導致政府贊助企業在危機中巨額虧損的原因，而非其對金融工具的使用。住房金融事業部應充分利用金融工具的對沖功能降低風險暴露。（2）要求衍生品合約交易對手提供抵押品。盡管交易對手違約出現的可能性較低，但基于美國住房政府贊助企業的經驗，住房金融事業部應為可能出現的金融市場波動做好準備。（3）在經濟環境穩定的時期尋求備選的衍生品交易對手。在危機出現時，住房金融事業部可與事先協商好的衍生品交易對手以約定的價格簽訂新的衍生品合約，降低交易對手更換風險，及時調整衍生品頭寸。（4）謹慎管理生息資產與付息負債的久期缺口�？紤]到住房金融事業部將主要向投資者發行長期的住房金融債，其久期缺口管理應比政府贊助企業更易管理。（5）實施完美對沖策略將利率風險最小化。由于住房金融事業部由政府支持，其有責任保護納稅人的利益�？赡軗p失最小化的途徑之一就是盡可能降低其自身的風險暴露。

　　第三，主動運用市場化手段。國家開發銀行的成功在很大程度上得益于與傳統政策性銀行不同的經營方式，在開發性金融的框架下，實施市場化、商業化的經營管理模式。政策性住房金融業務要持續發展，也需要防范信貸風險、保證貸款的回收和必要的收益。例如，住房金融事業部可以考慮發行抵押貸款證券來提高其資金周轉率，向市場轉移利率風險與預付風險。盡管中國抵押貸款市場仍不成熟，但住房金融事業部可以擔負起主導或促進建立中國抵押貸款證券一級市場與二級市場發展的職能。

　　（本文系國家社會科學基金項目“日本量化寬松政策溢出效應與東亞主要經濟體貨幣政策協調研究”的階段性成果，項目編號為13BGJ042；美國伊利諾伊大學香檳分校經濟學博士研究生岳旸對此文亦有貢獻）

　　注釋

　�、龠@種現象可以歸因為不同利率水平下實際預付比率的凸性。

　�、跀祿�來源為2013年房利美年度報告。

　�、跠elta對沖保證當資產價格經歷微小波動時組合價值不變。

　�、苈摪罨�金利率可以用來反映市場借款成本。

　�、輸祿�來自美國證券業與金融市場協會網站，http://www.sifma.org。

　�、迶祿�來源聯邦住房金融局2010年度國會報告，http://www.fhfa.gov。

　　參考文獻

　　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，國家開發銀行規劃總監兼信貸局局長、高級會計師。研究方向為銀行信貸管理。郭紅玉，對外經濟貿易大學金融學院教授、博導。研究方向為貨幣政策與銀行信貸管理。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施》《國債宏觀經濟效應研究》《財政貨幣政策協調配合的路徑研究》等。