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The Study of Mortgage-backed Securities Transactions Model and Risk Control of Bank of China

Author: LongYiHong
Tutor: LongHaiMing
School: Hunan University
Course: MBA
Keywords: Bank of China Mortgage–Backed Securitization (MBS) Choose model Risk control
CLC: F832.51
Type: Master's thesis
Year: 2009
Downloads: 71
Quote: 1
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Abstract


As one form of asset securitizations, mortgages securitization is considered as a portfolio investment that changes the assets which are lack of liquidity but can generate a stable income in real estate investments directly into flows in the financial markets. It connects the entire housing finance and capital markets directly, reduces the cost of mortgages between financial institutions, expands financing channels, and adds new investment opportunities for the majority of investors.Mortgage–Backed Securitization (MBS) in Bank of China has reached a certain scale. Meanwhile, China has initially established a relatively sound housing finance system, which services a good basic conditions for carrying out of mortgages securitization to a certain extent.In this context, the selection of trading patterns and how to control the risk of mortgages securitization effectively have become critical issue for the implementation of Mortgage–Backed securitization in Bank of China. This paper uses qualitative and quantitative analysis methods to study these issues objectively.There are three trading patternsn in the course of mortgage-backed securitization:sheet financing models,balance-sheet financing models and the quasi-balance-sheet financing models.By comparing the risks of these three trading patterns features, and learning from the implementation and experience of mortgage securitization of the United States and China Construction Bank,we believe that balance-sheet financing models,which is under the support and leading of government,is more suited to the Bank of China for its mortgage-backed securitization.To conduct mortgage-backed securitization,Bank of China will face credit risks, prepayment risks ,interest rate risks, and so on. We analyze the stability impact of a provincial branch of Bank of China by stress testing through simulation of three kinds of macro-economic environment, and make empirical analysises basing on the 309 mortgage loans datas of the branch with the help of factor analysis, cluster analysis and logistic regression models . Combining with empirical results,we put forward to relevant measures to prevent the risk of mortgage-backed securitization of Bank of China.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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