China's Housing Mortgage-backed Securities (mbs) Pricing

Mortgage Securitization is a hotpoint into international financial innovation and an entrance into the development of residential finance in China. The question that how to value Mortgage-Backed Securities (MBS) has to be answered at the initial step of MBS market in our country. Based on overseas'experience, the dissertation proposes an approach to MBS valuation applied to China.Firstly, by constructing pools of mortgage and analyzing character of different kinds of MBS, the dissertation design a kind of MBS adaptable for Chinese initial MBS market. For MBS valuation, it is critical to forecast cash flows based on research into borrowers'prepayment models. Since theoretical and applied research on prepayment base on westen countries are not applied to China, the dissertation is absorbed in Chinese consumers' character, and put forward a prepayment model, by which we can get average life of pools of mortgage .Further more, compared with several MBS valuation methods, the dissertation advances an approach for our own MBS valuation by improving" 12-year average life assumption model".