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研究生:徐嘉呈
研究生(外文):Chia-Cheng Hsu
論文名稱:抵押房貸證劵化之評價
論文名稱(外文):The Pricing of Mortgage-Backed Securities
指導教授:岳夢蘭岳夢蘭引用關係
指導教授(外文):Meng-Lan Yueh
學位類別:碩士
校院名稱:國立中央大學
系所名稱:財務金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2004
畢業學年度:92
語文別:英文
論文頁數:38
中文關鍵詞:抵押房貸證券提前償還抵押房貸提前清償加權平均壽命存續時間
外文關鍵詞:MBSMortgage-Backed SecuritiesPrepaymentAsset securitizationWeighted-Average Lifeduration
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  • 被引用被引用:1
  • 點閱點閱:110
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本文旨在研究抵押房貸證劵(Mortgage-Backed Securities)的定價。由於抵押房貸證劵的標的物為房貸借款且借款者擁有隨時清償借款的權利,使得抵押房貸證劵的現金流量變的不確定,也因此在對抵押房貸證劵評價之前,必需先考慮借款者的提前清償。我們在文中同時考慮提前清償選擇權以及違約選擇權,並以此來描述借款者會如何選擇最有利的情形提前清償他們的借款,以便我們能夠估計每個月的提前清償率。此外,我們也分別說明短期利率及借款利率對抵押房貸證券的差異,以及可能產生的不同影響。由於貸款群組中的每位借款人特性並不相同,而我們也在模型中納入了借款人異質性的考量。此外,透過不同的模擬比較分析,我們驗證了我們的模型能夠反應出一些影響抵押房貸證券價格、加權平均壽命及存續時間的外生因素。最後,我們也提出一個將抵押房貸證券分割成不同屬性證券的方法。
In this thesis, we use both prepayment option and default option to describe prepayment behavior to find the optimal time for each mortgage holder to prepay his or her mortgage loan. Furthermore, we estimate the prepayment rate at each month. In addition, we separate the role of the short term interest rate as the discount factor from that of the mortgage interest rate as an incentive factor associated with prepayment. The characteristic of each mortgage holder in the pool is all different. Therefore, in our model, we also consider heterogeneity of each mortgage holder in the pool and assume that heterogeneity is the fraction of the remaining principal balance. In addition, through simulations, we find that our model can capture various exogenous factors which influence the price, weighted-average life and duration of MBS. Finally, we develop a way to redistribute cash flows into different tranches.
Contents
1. Introduction --------------------------------------------------------------01
2. Cash flows of the MBS and valuation formula -------------------------------05
2.1 Without prepayment ----------------------------------------------------05
2.2 With prepayment -------------------------------------------------------06
2.3 Valuation formula for the MBS -----------------------------------------07
3. The model -----------------------------------------------------------------08
3.1 Modeling prepayment and default ---------------------------------------08
3.2 Borrower heterogeneity ------------------------------------------------11
3.3 Interest rates and house prices model ---------------------------------12
4. Monte Carlo simulation for valuation of a MBS -----------------------------14
5. Numerical results ---------------------------------------------------------17
5.1 The effect of parameters in long rate process and house price process -18
5.2 The effect of prepayment rate -----------------------------------------19
5.3 Measure of the MBS life -----------------------------------------------20
5.4 Different payment-structure -------------------------------------------22
6. Conclusion ----------------------------------------------------------------25
References -------------------------------------------------------------------37

Exhibits
Exhibit 1 FJF-01: Hypothetic Two-Tranche Payment-Structure ------------------22
Exhibit 2 FJF-02: Hypothetic Three-Tranche Payment-Structure ----------------24

Tables
Table 1 Different speeds of prepayment rates ---------------------------------28
Table 2 Weighted-average life ------------------------------------------------29
Table 3 Duration -------------------------------------------------------------29
Table 4 Price of a MBS in FJF-01 ---------------------------------------------31
Table 5 Weighted-average life of a MBS in FJF-01 -----------------------------32
Table 6 Duration of a MBS in FJF-01 ------------------------------------------33
Table 7 Price of a MBS in FJF-02 ---------------------------------------------34
Table 8 Weighted-average life of a MBS in FJF-02 -----------------------------35
Table 9 Duration of a MBS in FJF-02 ------------------------------------------36

Figures
Figure 1 The basic mechanism of asset securitization of a MBS ----------------01
Figure 2 The price of a MBS is influenced by the volatility of consol rate ---27
Figure 3 The price of a MBS is influenced by the expected return of house
price --------------------------------------------------------------27
Figure 4 The price of a MBS is influenced by the volatility of house price ---27
Figure 5 The p.d.f of beta distribution with different parameters ------------28
Figure 6 The weight-average life and duration of a MBS are influenced by the
volatility of consol rate -------------------------------------------30
Figure 7 The weight-average life and duration of a MBS are influenced by the
volatility of house price -------------------------------------------30
Figure 8 The weight-average life and duration of a MBS are influenced by the
expected return of house price --------------------------------------30
Boudhouk, J., M. Richardson, R. Stanton, and R.Whitelaw, 1997, Pricing mortgage backed securities in a multifactor interest rate environment: a multivariate density estimation approach, Review of financial studies, 10, 405 - 446.

Brennan, M. and Schwartz, E, 1979, A continues time approach to the pricing of bonds, Journal of Finance 4, 323 - 338.

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Chris Downing, Richard Stanton and Nancy Wallace, 2003, An Empirical Test of a Two-Factor Mortgage Valuation Model: How Much Do House Prices Matter, working paper.

Dunn, K. B., and J. J. McConnell, 1981a, A comparison of alternative models for Pricing GNMA Mortgage-Backed Securities," Journal of Finance, 36, 471 - 483.

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Takeakikariya and Fumiaki Ushiyama, 2002, A 3-factor Valuation Model for Mortgage-Backed Securities (MBS), working paper.
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