The Pricing And Risk Analysis Of Mortgage-Backed Securities

As the development of national economy and the real estate market in our country, the scale of housing mortgage loan is rising. And the proportion of individual housing mortgage loans in the commercial bank business is much big, which makes the risk concentrate in the banking industry, in order to solve the problem of liquidity of housing mortgage loan and to dispersive risk, housing mortgage loan securitization were wildly applied. On December 15,2005, China construction bank issued the first domestic housing Mortgage-Backed Securities-"jianyuan 2005-1" individual housing mortgage backed securitization trust in the inter-bank bond market, which marks the first practical application of domestic housing mortgage loan securitization.This paper firstly introduces the original development of housing mortgage-backed securities, and the research of pricing housing mortgage-backed securities products at home and abroad. On the basis of the existing pricing method, this paper deduces partial differential equation of Pass-Through Mortgage-Backed Securities and multifactor pricing model of Sequential Collateralized Mortgage Obligations, with the underlying asset of fixed-rate mortgage; and proportional hazards model of Sequential Collateralized Mortgage Obligations, with the underlying asset of floating rate mortgage. Refer to "jianyuan 2007-1" relevant data, the empirical value is calculated, which provides a good demonstration for the practical application and effectiveness of the pricing model.