A Study On Mortgage-backed Securities Pricing

This dissertation has proposed a innovative and compelete MBS pricing method. This method considers of the particularity of Chinese secured-loan markets and the developing direction of market at the same time. The method also combines the latest research results at present. This method is suited to SPV(special purpose vechile) to use practically and scientificly.The pricing method includes three parts. In Part one the paper builds prepayment models describing the particularity of Chinese people.And the author concludes that the prepayment source mainly comes from the improvement of income.In this part also a model is included,which is based on refinancing prepayment. Then the author calculates the corresponding Single-monthly-mortality (SMM) of the single-factor model and dual-factor model. In this part the author also adds unobeservable heterogeneity variable into model, which is latest development of foreign scholar study. The transaction cost is put into the refinance model and supposed to obey beta-distribution. Finally this method gets SMM through the probability.Part two includes the study of term-structure of interest rates.This paper has mainly adopted CIR two-factor model to calculate short-term interest rate and long-term earning ratio.This dissertation uses Kalman-filter to estimate parameters in CIR model.Finally this part studys the relationship betwen the housing loan rate and long-term interest rate.Part three uses Monte-carlo method with estimated parameters to simulate a path of interest rate.And then utilizes prepayment model to calculate SMM to get discouted cash-flow.Finally the author gets the average and theoritical price.