The Structure And Valuation On The Housing Mortgage Loan Backed Security In China

Housing Mortgage Loan Securitization derived from the finance innovation in 1960s,Housing Mortgage Loan Securitization is the course in which borrowers backed by housing mortgage loan pool are financed by issuing bonds.Essentially, Housing mortgage loan Securitization divert money from capital market. It's function focuses on: promoting the scale and adjusting the structure of housing mortgage loan market, furthermore, promoting the economy growth; increasing bank's asset liquidity and diversifying bank's risk, Securitization has become one of the heated topics in our country, But one of the emphases for mortgage backed securities (MBS) to be exchanged is to price them appropriately. By the way of quantitative and qualitative analysis, this paper presents some pricing models suitable to our country s MBS, and then makes some advice for the securitisation of the housing mortgage of our country from perspective of pricing.This paper comprises four chapters .Chapter one gives a brief discussion of Housing Mortgage Loan Securitization Operation System, Chapter two makes the pricing analysis of MBS, including the analysis of cash flow of MBS, the research on the prepayment behavior in the housing mortgage and the pricing model of MBS, Chapter three using the cash flow current value method to carry out the empirical test by a...