Research On The Pricing Model Of Mortgage Backed Securitization In China

Mortgage Backed Securitization(MBS), originated in the U.S.A of 1970's, is a kind of new-type structure financing way.The innovative tool has linked mortgage market with capital market, fueled capital turnover among mortgagees, mortgagors and investors.A mordern mortgage market consists of the traditional primary market and the relatively new secondary mortgage market. Because of superiority in many aspects, it is developed very fast all over the world. MBS can directly turn the real estate investments that lack liquidity but can produce steady income into securities investments that can circulate extensively in the financial market. Not only can MBS vitalize financial assets, improve the quality of assets, raise the utilization ratio of the fund and the bank anti-risk ability , moreover provided the new investment variety, expanded the housing credit fund origin, the plate has lived the developer backlog housing commodity.At present, our country has already existed and possessed pressure and condition of implementing Mortgage Backed Securitization. Specially "2005-1" the construction bank MBS release, enabled to the MBS to have a more thorough exploration.The Asset-backed Security this finance innovation tool application, has the positive significance to our country economy development.Based on the concepts of MBS, basic principles of MBS and operation procedures of MBS, through seriously analysis of the conditon and obstacles for MBS implementing in our country, this article pays special attention to prepayment risk and pricing of MBS.It also builds the prepayment prediction model and pricing model according to our real situation by using one example.The thesis is divided into six chapters as follows:The research background and purpose, the summary to the relevant concepts and basic principles of MBS , the operation procedures of MBS and the current study situation have been described in Chapter one.Structure frame and research method have also been explained.The condition of our country for implementing MBS has been seriously analysed in Chapter two.Also all kinds of obstacles that may meet have been explored in this procedure.Chapter three has analyzed the possible risk of MBS.After the introduction of famous prediction modle for prepayment in other countries, we are absorbed in the factors influencing the prepayment of mortgagees and build a prepayment prediction modle for our country's mortgagees.On the basis of compared MBS with fixed income securities, the advantages and disadvantages of several kinds of pricing modles on MBS have been analyzed in Chapter four.Explain the using conditon of these modles and select the right modle in accordance with the real situation of our country.Through an example using the prepayment prediction model for our country built in Chapter three, we can determine the time when the mortgagee will prepay and the cash flow each month in Chapter five.Also the MBS pricing research has been done by static spread method.Moreover some suggestions about guard against prepayment risk and pricing of MBS are given in this chapter.The conclusion is explained in chapter six. And has carried on the forecast to our country's MBS fast development.In summary the article mainly has carried on the analysis to the MBS process two key problems.prepayment and pricing, and built the prepayment prediction model and pricing model through the real diagnosis analysis method.