Valuation of mortgage-backed securities

Rui Huang

21 citations0/0 files storedSummit (Simon Fraser University)

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Credit Risk and Financial Regulations Housing Market and Economics Stochastic processes and financial applications

Abstract

This paper attempts to provide a method for the valuation of mortgage-backed securities (MBS). Specifically, Modified Goldman Sachs model is selected to describe mortgagors' prepayment behaviour, which takes account of mortgage's refinancing incentive, aging effect, month effect and burnout effect. In this study, I will use above model to price a pass-through MBS and a plain vanilla MBS respectively. Furthermore, I use scenarios testing to discuss how MBS’s price and standard deviation (risk) change if mortgage property and model parameters change.

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References

1985A Theory of the Term Structure of Interest Rates 1977An equilibrium characterization of the term structure 1989Prepayment and the Valuation of Mortgage-Backed Securities 1995Rational Prepayment and the Valuation of Mortgage-Backed Securities 1989Prepayments on fixed-rate mortgage-backed securities 1981A Comparison of Alternative Models for Pricing GNMA Mortgage-Backed Securities 1985The Handbook of Mortgage-Backed Securities 1992Mortgage and mortgage-backed securities markets

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