China Housing Mortgage Securities Mode Design Evaluation And Pricing

Securitization of housing mortgage loans, as a great innovation in the financial industry in the recent 40 years can be viewed as not only an important financial engineering technique but a financial tool. As a kind of technique, securitization of housing mortgage loan aims at separating and integrating the assets pool and cash flow made of housing mortgage loans, and then creates new securities with risk feature different from assets pools. As a financial tool, securitization of housing mortgage loan can enrich investment choice, improve amounts of financial business, increase content of financial business, reallocate financial resources and improve efficiency of risk allocation.Discussion of securitization of housing mortgage loan in our country began in 1990. High debt of stated-owned corporation and non-performing debt of stated -owned banks became the potential risk to the stabilization of macro economy and also a big obstacle to financial and economic system reform in our country. With the fast development of securitization of housing mortgage loan overseas, carrying out securitization of housing mortgage loan has become the hot point in both academy and practice fields. Therefore, it is meaningful to know the basic principle of securitization of housing mortgage and to use the core techniques of securitization of housing mortgage for reference. Pricing of MBS is the core of securitization of housing mortgage, whether the price is reasonable is directly related to the success of MBS in our country.The first chapter introduces the background of this paper, the research meaning, the basic theories and research results in securitization of housing mortgage home and abroad. The second chapter, on the basis of current law system of our country and economic environment, puts forward the mode of securitization of housing mortgage suitable for our country. The third chapter analyzes and compares the strong points and shortcomings of several MBS pricing methods. It introduces option theory to price the housing mortgage securities and converts the risk of housing mortgage securities'future cash flow to two options value and uses Black-Scholes option pricing model to deduce the formula. The fourth chapter, from the view of cash flow discount, prices the housing mortgage security. It uses random process to depict the prepayment action directly and emulate the prepayment risk in reality. In addition, it uses loan classification method to convert the partial prepayment to entire prepayment and to control the prepayment risk. After getting the pricing formula, it also gives a simple case. At last, it concludes the whole paper and puts forward the expectation of future researches.