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Study On Mortgage-backed Securitization Risk Management

Posted on:2006-06-29Degree:MasterType:Thesis
Country:ChinaCandidate:L SuFull Text:PDF
GTID:2179360155972412Subject:Finance
Abstract/Summary:PDF Full Text Request
As a new financing technique,asset securitization developed very fast after it had come out from U.S.A.in 1970s.Commercial Bank's Mortgage-backed securitization was one of the most important finance innovations in the domain of west commercial banks.International experience has shown that Mortgage-backed securitization not only can give great impetus to the development of commercial bank,but also can improve the development of capital markets and the national economy. At Present,Commercial Bank's Mortgage-backed securitization overseas has developed comparative maturity. But in China,it has been fetched in only about ten years.on the condition of that the traditional financing and operational mode of China's commercial banks can no longer adapt to the tend of securitization of international financial market and the requirement of developing China's own financial and securities markets,China's commercial banks should take reference to and apply the finance innovation tool of Mortgage-backed securitization.This can amend the commercial banks,fluidity and drive the improvement of whole financial market. Based on an introduction of study actuality in China and overseas,this paper mainly analyses the basic theory of Mortgage-backed securitization: explaining the meaning ,types, basic structure. The paper analyses Mortgage-backed securitization'risks and and gives some strategy how to settle the risks.It is important to use OAS adjusting interest risk,and use creditmetrics scaling credit risks,and use credit engineering to settle finance risks. All four ports of this paper are interrelated.This paper discusses from easy todifficult and makes a generalized to specific analysis.It absorbs the experts'productions.At the same time,the paper emphasizes on such problems: introducing the basic of MBS (meaning, types,basic structure,obstacle,countermeasure and so on)and finance risk;It uses finance engineering to discuss finance risks in Mortgage-backed securitization;It uses credit engineering to settle finance risks.
Keywords/Search Tags:MBS, Prepayment risk, Interest risk, Credit risk, Risk control and hedge strategy
PDF Full Text Request
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