基于Monte-Carlo模拟的CMOs多因素定价模型研究

On the Pricing of CMOs by Monte-Carlo Simulation Approach

本文研究了抵押贷款证券化产品中的一类典型结构——CMOs(Collateralised Mortgage Obligation)的定价模型及定价系统设计。首先探讨了CMOs产品的三个主要影响因素——利率、违约率、提前偿付率,并建立相应模型:随机利率CIR模型,违约率SDA模型,提前偿付PSA模型。然后,通过Monte-Carlo模拟来对CMOs进行定价研究。最后,对CMOs产品相关影响因素(利率、违约率、提前偿付率),进行了单因素和双因素压力测试。

This paper focuses on analyzing the pricing model and valuing system of CMOs(Collateralized Mortgage Obligations),a typical type of MBS. To begin with,interest rate,defaults and prepayments are discussed as three main factors affecting the price of CMOs. And correspondingly,CIR( Cox-Ingersoll-Ross) model of random interest rate,SDA( Structural Decomposition Analysis) model of default rate and PSA( Public Securities Association) model of prepayment rate are constructed. Then,this paper sets up the pricing model by a Monte-Carlo Simulation approach. Finally,both single-and double-factor stressing tests of those three relative factors are applied at the last part of the paper.