The Study Of Operation Models And Pricing Methods Of Mortgage-backed Securitization Of Our Country

Mortgage-backed Securitization (MBS) arises from the Unites states, is one of the most important innovation in the financial field. Now MBS is developing rapidly in many countries, but is a newborn thing in China. This paper tries to study the suitable operation models and pricing methods.The first part of this paper analyzes the essence and character of Securitization, with the reference of development of mortgage market in our country, made an exposition necessity of MBS. The second part studies the experience of MBS in other countries, especially the development and market structure in the Unites states. The third part analyzes the market circumstances of MBS in our country, including guaranty and insurance market, supplies and demand, market agencies. The fourth part, basing on such analysis, discusses the operation models and stock design suitable for our country, and put forward a proposal that we should adopt off-balance sheet model and CMO structure. The fifth part studies some influencing factors and form of measurement of prepayment, discusses the yield to maturity method, and lay emphasis on the option-adjusted spread pricing that combine random rate term structure with Monte Carlo simulation.