CAJ | 학술논문

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.
재분석MBS(Mortgage-backed securities)정개영향인소적기출상,고필모형적은건성화가조작성,이용Schwartz화Torous정개모형,이건원2007-1RMBS작위연구대상,모의출BDT리솔모형하적리솔기한결구,재결합제전환관모형중적PSA법학정대관현금류,진이학정기권조정개차OAS,구건료괄용우아국적MBS정개모형.
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.