(3.238.99.243) 您好!臺灣時間:2021/05/17 00:33
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

我願授權國圖
: 
twitterline
研究生:許峰旗
研究生(外文):HSU FENG CHI
論文名稱(外文):Pricing and Risk measurement of Mortgage-Backed Securities - Application of Value at Risk
指導教授:李佩璇李佩璇引用關係
指導教授(外文):Pei Hsuan Lee
學位類別:碩士
校院名稱:國立中正大學
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:2005
畢業學年度:93
語文別:英文
論文頁數:55
外文關鍵詞:MBSVaR
相關次數:
  • 被引用被引用:0
  • 點閱點閱:592
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
The primary purpose of this paper is to investigates the valuation and risk measurement of MBS (mortgage backed securities). In valuation portion, I introduce three kinds of pricing models of MBS. In risk measurement portion, this paper use Value at Risk concept as a risk measurement tool of MBS. The related topic will be divided into three aspects:
Chapter 1:Introduction
1-1 Research Motivation …………………………………………………...........5
1-2 Research Contribution……………………………………………………….6
1-3 The Structure of the Dissertation …………….……………………................7
Chapter 2:Literature Review
2-1 MBS Structures ……………………………………………………………...8 2-2 Challenges in MBS Analysis ………………………………………………….9 2-3 Value at risk …………………………………………………………………11
Chapter 3:Methodology
3-1 Simulation-Based Pricing of MBS ………………………………………......16
3-2 Value at risk for MBS ……………………………………………………....24
3-3 Measuring Value at risk for MBS Portfolios …………………………………25
Chapter 4:Results
4-1 Data Description and Sensitivity Analysis ………………………………........28
4-2 Result for MBS portfolio ……………………………………………………37
Chapter 5:Conclusion
5-1 Conclusion ………………………………………………………………….40
5-2 Further Study ……………………………………………………………….42

Appendix…………………………………………………………………………...43

Reference………………………………………………………………………….53
Andrew Caplin, Charles Freeman, Joseph S. Tracy, 1997, “Collateral Damage: Refinancing Constraints and Regional Recessions “, Journal of Money, Credit and
Banking 29, 496-516.

Boudoukh, Jacob, Robert. F. Whitelaw, Matthew Richardson, and Richard Stanton,
1997, “Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach”, The Review of
Financial Studies 10, 405-446.

Chen, J., and M. Fu, 2002, “Hedging Beyond Duration and Convexity”, Proceedings
of the 2002 Winter Simulation Conference.

Chen, J., 2004, “Simulation-Based Pricing of Mortgage-Backed Securities”,
Proceedings of the 2004 Winter Simulation Conference.

Cox, J., J. Ingersoll, and S. Ross, 1985, “A Theory of the Term Structure of Interest
Rates”, Econometrica, v53, 385-408

Downing, Chris, Richard Stanton, and Nancy Wallace, 2002, “An Empirical Test of
a Two-Factor Mortgage Prepayment and Valuation Model: How Much Do House
Prices Matter? ”, Working paper, University of California at Berkeley.

Dunn, Kenneth B., and John J. McConnell, 1981, “A Comparison of Alternative Models for Pricing GNMA Mortgage-Backed Securities”, The Journal of Finance 36,
471-484.

Dunn, Kenneth B., and John J. McConnell, 1981b, “Valuation of GNMA Mortgage-
Backed Securities”, The Journal of Finance 36, 599-616.

Fabozzi, F., 1993, “Fixed Income Mathematics.” New York, NY: McGraw-Hill.

Fabozzi, F., and Ramsey, C. 1999, “Collateralized Mortgage Obligations: Structures
and Analysis”, Frank J. Fabozzi Associates.

Fabozzi, F., 1992, “The Handbook of Mortgage-Backed Securities.” New York, NY:
McGraw-Hill.
Hayre, L., 2001, “Salomon Smith Barney Guide to Mortgage-Backed and
Asset-Backed Securities”, John Wiley & Sons, Inc, New York.

Hayre, L. and H. Chang, 1997, “Effective and Empirical Durations of Mortgage
securities,” The Journal of Fixed Income, March, 17-33.

Ivan, B., 2002, “Pricing Mortgage-backed Securities and Collateralized Mortgage Obligations”, University of British Columbia.

James B. Kau, Donald C. Keenan, Walter J. Muller Ⅲ, and James F. Epperson, 1990,”The Valuation and Analysis of Adjustable Rate Mortgages”, Management
Science, v36, 1417-1432.

Jorion P., 1997, “Value at Risk: The New Benchmark for Controlling Market Risk.” McGraw-Hill, New York.

Kariya, T., and M. Kobayashi, 2000, “Pricing Mortgage-Backed Securities (MBS) - A Model Describing the Burnout Effect.”, Asian Pacific Markets 7, 189- 204.

Kariya, T., F. Ushiyama, and S. R. Pliska, 2002, “A 3-factor Valuation Model for
Mortgage-Backed Securities (MBS)”, working paper, Tokyo Branch, Institute of Economic Research, Kyoto University.

Richard, S., and R. Roll, 1989, “Prepayment on Fixed-rate mortgage-backed
securities”, Journal of Portfolio Management, 15, 73-82.

Schwartz, Eduardo S., and Walter N. Torous, 1989, “Prepayment and the Valuation of
Mortgage-Backed Securities”, Journal of Finance 44, 375-392.

Schwartz, Eduardo S., and Walter N. Torous, 1992, “Prepayment, Default, and the Valuation of Mortgage Pass-through Securities”, Journal of Business 65, 221-239.

Schwartz, Eduardo S., and Walter N. Torous, 1993, “Mortgage Prepayment and Default Decisions: A Poisson Regression Approach”, Journal of the American Real
Estate and Urban Economics Association 21, 431-449.

Stanton, Richard, 1995, “Rational Prepayment and the Valuation of Mortgage-Backed
Securities”, The Review of Financial Studies 8, 677-708.

Thomas K. Ta, and William F. McCoy, 2001,”Comparing Methods to Approximate
Mortgage-Backed Security VaR”, RiskMetrics Journal, v2, 45-69.

Tomas S.Y Ho, 1992, “Key Rate Durations: Measures of Interest Rate Risks”,
The Journal of Fixed Income, No. 2, 29–44.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top