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The Risk and Pricing Research of Mortage-Backed Securitization

Author: LuJunHua
Tutor: TangXiangJin
School: Wuhan University of Technology
Course: Applied Mathematics
Keywords: MBS Mortgage Securitization Risk prepayment risk cash flow interest rates pricing Monte Carlo simulation
CLC: F293.3;F224
Type: Master's thesis
Year: 2010
Downloads: 91
Quote: 0
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Abstract


The Mortgage-Backed Securitization produced firstly in the U.S, it is a new bright spot of the international financial innovation in recent decades, it is just one of China’s entry point for the development of housing finance. Securitization of mortgage loans to traditional credit chain has been expanded also increases the liquidity of assets in commercial banks. It is bringing the new sources of funding of the real estate mark. Financial markets and the real estate market has been the development betterly. However, the extension of credit chain is increased the risk factors, the more complex the process of securitization, the more uncertain earnings. MBS is not a system can increase the risk of the economy; it also depends on the process of securitization of the risks if the price can be reasonable. While mortgage securitization can bring more revenue, but must handle the risks and to study its pricing, because it is very important to generate the income.The urgent problem of securitization of MBS is to analyze the risk of mortgage loans and how to price it reasonably.Based on the analysis of housing finance in the foreign, this paper majors two aspects:the risk analysis of securitization of mortgage and the pricing of MBS.the risk of the securitization of mortgage facing there are three main speakers:prepayment risk, interest rate risk and credit risk.Then talk about the housing mortgage loan pricing the basic theory, the main analysis of the MBS’s cash flow and discount rate choices. Through the introduction of foreign mortgage pricing method to find out pricing for our country. Because of the securitization of housing mortgage loans lack of accumulated data, this paper describes the equal pay of MBS. Through comparative analysis of MBS pricing in the foreign countries, Monte Carlo simulation simulates this rate, using the option-adjusted spread law as the basic pricing of MBS, and it is improved, building a model of pricing MBS.

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