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Research on the Pricing Model of Mortgage Backed Securitization in China

Author: FuHaiYan
Tutor: JiaoJiWen
School: Shandong University
Course: Management Science and Engineering
Keywords: Mortgage securitization Prepayment risk MBS pricing
CLC: F224
Type: Master's thesis
Year: 2008
Downloads: 285
Quote: 1
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Abstract


Originated in the 1970s, the U.S. mortgage-backed securities and structured finance is a new way. Mortgage securitization that financial innovation to the mortgage market and capital market linked, forming a virtuous circle of investors and mortgage lenders and borrowers of funds between and thus form the primary housing the coexistence of the mortgage market and the secondary mortgage market modern mortgage market pattern. Since this financial innovation has many advantages, in the countries in the world very quickly. Mortgage-backed securities of the lack of liquidity, but able to generate stable income real estate investment directly into the flow of investments in securities in the financial markets widely conducive not only to make an inventory of financial assets, improve asset quality, improve the utilization of funds and bank anti- risks, and provide new investment products to expand housing credit the source of funds, to make an inventory the residential developers backlog goods. At present, China has the presence and with the implementation of the securitization pressure conditions, Chien-yuan \Asset securitization of financial innovations, China's economic development has a positive meaning. In-depth study of the meanings of the mortgage securitization, operational processes and the basic principle of careful analysis of our country to carry out the conditions of the mortgage securitization and obstacles, focus on the prepayment risk and pricing, compared to China's actual national conditions, prepayment prediction model based on influencing factors of the borrower prepayment behavior, and learn from the successful experience of foreign countries on the basis of selected our pricing model, combined with a practical example of the analysis. The text consists of six chapters. In the first chapter, the first description of the background and significance of this study; Secondly, the basic principles of the concept of securitization and mortgage securitization overview; describes the process of the operation of the mortgage-backed securities, as well as domestic and foreign research status quo discussed, indicating that the full text of the framework and the thesis. Chapter II a careful analysis of our country with the conditions of the mortgage securitization, and combined with the actual pointed out the obstacles that may be encountered in the implementation process in China. In the third chapter, the first analysis of the various risks encountered in the process to carry out the MBS, targeted focus on the basis of the internationally popular practice prepayment forecast, analysis of the impact of borrower prepayment behavior factors, on this basis, establish a model suited to China's status quo forecast of borrower prepayment behavior. Chapter of mortgage-backed securities and fixed income securities compared on the basis of major foreign MBS pricing model for the in-depth study, a comparison between each pricing model is applicable to the basic conditions and China's actual situation, based on the pricing of mortgage backed securities. In the fifth chapter, the influencing factors affect the prepayment behavior of borrowers in China: income (the main factor) and interest rates (secondary factor) established prepayment forecasting model, through a practical example, to predict the timing of the borrower to prepay identify, and make sure each of the cash flow; Secondly, the use of static spread of cash flows discounted mortgage-backed securities pricing research, and based on the preceding analysis and practical examples of housing mortgage prepayment risk prevention and pricing models in the process of loan securitization choose to make some suggestions. Chapter VI made a summary of the full text and the rapid development of China's securities prospects. In summary, the article is mainly on two key issues in the securitization process: prepayment risk and MBS pricing research, prepayment forecasting models and choose the pricing model suitable for China's national conditions, and the use of practical examples to be tested .

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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