Risk Analysis Of Commercial Bank Mortage-Backed Securitization

Asset Securitization is one of the most important financial innovation in the twentieth century, in which the mortgage-backed security of credit assets is the essential part. Mortgage-backed security has complex internal structure, the analysis of its risk is of great significance in product pricing and circulation.This paper applied survival analysis theory to the study of prepayment risk of Residential Mortgage-Backed Security, that is the loan to the prepayment behavior as death, prepayment rates as mortality rate, and the influence factors of prepayment rates covariate of the model. Using COX proportional hazard function as the basic functional form of Residential Mortgage-Backed Security risk analysis model. The article preliminary set of contract interest rate of home mortgage, disposal income, real estate climate index and seasonal factors as covariate of prepayment risk model. Using quantitative analysis method to the "jianyuan 2005-1" Residential Mortgage-Backed Security as an example for empirical study.On the basic form of prepayment risk model, this paper conducted a series processing both on the form and the data. First of all, in both sides take the logarithm to linearize processing model. Secondly, join the virtual variable seasonal factors to eliminating the influence of seasonal factor on prepayment risk. Thirdly, using the method of differential to converted the disposal income from quarterly data into monthly. Finally make first order differential processing with disposable income according to the result of stationary test. To make linear regression for processed model,and find out the specific function form of prepayment risk of Residential Mortgage-Backed Security. Due to the effect is not ideal, in the paper, the model was further modified and add the first-order lag dependent variable, to make it better fitting. Finally it is concluded that contract interest rate of home mortgage, disposal income, real estate climate index and seasonal factors has significant effect on the prepayment risk of Residential Mortgage-Backed Security, and put forward suggestions on risk management of Mortgage-Backed Security...