住房抵押贷款证券定价研究

Research on pricing of the mortgage-backed security

在分析MBS(Mortgage-backed securities)定价影响因素的基础上,考虑模型的稳健性和可操作性,利用Schwartz和Torous定价模型,以建元2007-1RMBS作为研究对象,模拟出BDT利率模型下的利率期限结构,再结合提前还款模型中的PSA法确定贷款现金流,进而确定期权调整价差OAS,构建了适用于我国的MBS定价模型.

This paper summarizes the factors and basic theory in Mortgaged-Backed Securities Pricing.By comparing the Structural Model and Reduced-Form Model,we get the pricing ideas.Considering stability and feasibility,the Schwartz and Torous Pricing Model are used for reference to research on Jianyuan 2007-1RMBS.By using Monte Carlo Simulation,we simulate the BDT interest rate term structure,and then combine with PSA pre-payment model to determine the loan cash flow and option adjusted spread. Finally we get the MBS pricing model applicable to China through the establishment of empirical study.