臺灣博碩士論文加值系統

本論文主要以延伸Kariya, Ushiyama, and Pliska(2002)三位學者所發表之3因子房貸證券化評價模型加入現實世界可能存在再融資限制條件下之評價並使用風險值之概念來衡量該証券之風險值.

The primary purpose of this paper is to investigate 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

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