住房抵押贷款的比例提前偿付模型

Proptional model on prepayment of MBS

住房抵押贷款证券化定价的难点之一 ,就是由于提前偿付行为的存在 ,使得未来现金的流量难以确定。本文介绍了比例模型在提前偿付中的运用 ,同时提出了运用威布尔分布比例模型来建立提前偿付模型的观点 。

One of difficulties of Pricing the Mortgage backed Securities is how to assure the cash flow of the Mortgage because of the existence of the prapayment.This paper discusses the proporional model on prepayment.At the same time,the author provide the Weibull distribution model and get a good result.