Mechanism Of The Home Mortgage-Backed Securities Of Our Country

Mortgage－backed securitization is a kind of refinancing mechanism by which the financial institutions such as banks issue mortgage-backed securities that are based on the anticipated cash flow created by the assembled loans. As one of the most important finical innovation techniques of last century, Mortgage-backed securitization play an important role in solving the liquidity shortage of the commercial banks caused by the increasing of home mortgage loans, improving the efficiency of financial market and promoting the development of the house and relevant industries etc. Today,In China with fast-developing economy, this technology is mentioned and paid attention to by people gradually. People have realized it will influence the China's reform and economical development significantly if we can apply it in our country rationally.This dissertation begins with the basic conception of the mortgage-backed securitization. In analyzing the mechanism of the home mortgage-backed securitization, the dissertation focuses on the study of the prepayment risk models and pricing theories, and bring forth a new cash flow model combining the prepayment and default-risk. Based upon the model, we generalized the Two-Factor pricing models of the home mortgage-backed securities. After studying the operating mechanism, the dissertation analysis the internal demand for the technique and governmental mode selection. At last we provide means on how to modify the institutions and how to set up and develop the home mortgage-backed securities in our country. The dissertation comprises seven chapters.Chapter one introduces the basic interpretation and operating mechanism of the home mortgage-backed securitization, expatiates the operation procedure and innovative structure. Though comparative research on the developments of the home mortgage-backed securitization in specific regions of the world, we get better knowledge about the operating mechanism, innovation and positive impact on a country's economic development.Chapter two further investigates the risk factor and the function mechanism of the home mortgage backed securities, especially the action mechanism of the prepaying behavior and influencing factors' analysis. The chapter firstly introduces the comprehensive method of prepayment behavior into China, such as refinancing incentives model and credit loans' survival analytical method.The emphasis of Chapter three is on the valuation methodology for the home mortgage backed securities. At first, the chapter presents the basic pricing method, such as the cash flow discounts, the option adjustable spread, derivatives pricing model, ST model and structure theory of interest rate. In order to describe the mortgage pool's cash flow uncertainty resulted from prepayment behavior and default risk, we construct a new structural method of the mortgage's cash flow and generalize the Two-Factor valuation Model embedded with Vasicek -Model on the base of the boundary condition of two behaviors. For lack of the true data, the dissertation applies the Monte Carlo simulation to compute the testing outcome. Chapter four analyzes the internal demand and necessary of implementing the home mortgage backed securitization in our country from three respects --the commercial bank, financial market efficiency and real estate development. We point out that our country has already possessed the basic conditions to make the home mortgage-backed securitization experiment at present. Both macroeconomy and micro industries have strong inherent demand, so the development of the home mortgage-backed securities will take important effect on the reform of the financial institution, structural adjustment of capital market and economic growth.Chapter five analyses the external obstacle to set up and develop the securitization market in our country at present. How to choose the optimal governmental strategic to avoid market failure and government failure is the key factor to determine success of financial innovation. The author provides economica...