The Research On The Pricing Of China’s Residential Mortgage-Backed Securities

RMBS apeared in the U.S.A in1960s. RMBS is one of the most important financialinstrument innovations on the international financial markets in the past50years, andwhich is a rapid development structured financial derivatives. RMBS makes the traditionalchain of credit more expanded, and it increases the liquidity of commercial banks’ assets,brings the real estate market new sources of funding. All of those bring new vitality to thedevelopment of financial markets and the real estate market.As a financial technology and financial instrument, RMBS has quitely mature andperfect development in the United States, it is the most perfect typical of commercial bankasset securitization in the U.S. In China, although the discussion of RMBS has been a verylong time, the practice of RMBS is very little. Currently there is only China ConstructionBank which issue the RMBS. Therefore, combined with China’s actual conditions,analysising and researching the risk and pricing of RMBS and exploiting the pricing modeland mode of operation for China’s national conditions, has important theoretical andpractical significance.At first, this paper introduces the participants and processes of RMBS, and based onthis, the paper analyses various risks faced by RMBS. Furtherly,it points out that theprepayment risk and interest rate risk are the main risks the RMBS facing. Secondly, thispaper describes the pricing methods of RMBS, and puts out the empirical analysis.Finally, according to China’s actual situation, the paper analysises the pricing of RMBSand puts foword the apptopriate pricing method.