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

MBS is the most important financial innovation in 20th century. MBS market makes success in USA. Development of MBS market is necessary in China by analyzing risk management of Chinese real estate and commercial banks. The healthy development of MBS market needs to explore related models and legislative construction. Another critical issue is that related parties needs to know their values presicely and this is the main point of this paper. Research of MBS value includes 3 areas: 1.forast the MBS cash flows according to borrowers'different prepayment rate; 2.establish MBS risk-prmium interest rate term structure to forcast cash flows.3.create decident model to value MBS. This paper, consulting foreign research experience and Chinese reality , analyze the value of MBS and measurement of risk with investors to provide decisions for issuers and investors. This paper's reserch logistics is as follows:First, we analyze factors of borrowers'prepayment, and based on it establish mathematic model to evaluate prepayment rates. According to foreign research and Chinese reality, the increase of borrowers'income is the main factor influencing the MBS borrowers'prepayment and this factor is easy to measure. Thus, this paper create the forcasting model of real payment terms according to borrowers'families income expectation. And this paper uses the estimate income of Shanghai citizen to calculate prepayment probability.Second, research and compare the structure of the MBS cash flow under different prepayment rates. The simulation have following result: cash flows have the characteristic of increasing at beginning and decreasing at some higher level. The difference is that the cash flows increase and decrease quickly and fluctuate fiercely under high prepayment rate, and vice...