China's Housing Mortgage-backed Securities Pricing Study

Mortgage Backed Securitization, a financial innovation tool born inAmerica. The pricing of Mortgage-backed Securities (MBS) is the key ofMortgage Backed Securitization, pricing exactly makes MBS successful,but higher or lower pricing for MBS will become tragedy.Based on the operation flow of MBS, this paper analyzed the risk factorshide in the process of MBS. The prepayment risk was the primary risk factorto the pricing of MBS. This dessertation systematically studies theprepayment model of MBS, we took the PSA and PHM model to measurethe prepayment action.The popular pricing methods of MBS is Static Cash Flow Yield, InterestSimulation Pricing and Option Adjusted Spread. The mortgage-backedsecurity is a kind of interest rate derivative security, this dissertationanalyzes the model of interest term and the dynamical model of inerest, Thispaper compared the three popular pricing methods and select the ISP methodcombined with SCFY method to modeling our country's MBS pricingmodel.At last, this dissertation empirical analyzes value and risk of MBS.Based on the data of treasury repurchasable and the prepayment model, cashflow, value and Var risk of MBS whose basis asset is the five-year mortgageis calculated.