| Mortgage securitization is the most important financial innovation during the past thirty years; the research on this topic is always a basic research in finance field. With the outbreak of the subprime lending crisis of the United States of America in later2007and the two successful introductions of the mortgage securitization of Chinese Construction Bank, it is very urgent and significant to speed up the research on the mortgage securitization.Firstly, the thesis studies the basic theory of the mortgage securitization, analyses the intrinsic meaning of the asset securitization, category and the operation of the mortgage securitization, the main products and the currency flows of the mortgage backed security.Secondly, the thesis makes some research on the pricing theory of the mortgage backed security, analyses the factor influencing the pricing result, i.e. the interest rate, the prepayment and default. On basis of the foregoing research, the thesis introduces the pricing method of the mortgage backed security.Thirdly, on the basis of the comparisons of no-arbitrage and equilibrium term structure model of interest rates and the exogenous and indigenous prepayment model, the thesis construct of the pricing model of the Chinese mortgage backed security, which incorporated the no-arbitrage Black-Karasinski model and exogenous prepayment model.Lastly, the thesis makes some empirical study of the proposed model. The main conclusions are as follows:the pricing model can not only solve the pricing problems of the pass through, but also the floating rate collateral mortgage obligation, without the consideration of the transaction cost, the price of the pass through is the sum of the prices of the trenches of collateral mortgage obligation. The main factors influencing the price of the mortgage backed security are the parameters of the prepayment, i.e. the constant prepayment rate, the income effect and the expectation effect. As to the term structure model, the parameters have little impact to the pricing results. |
