應用動態提前清償模型評價住宅抵押貸款證券Pricing Mortgage-Backed Securities by a Dynamic Prepayment Model

本研究利用蒙地卡羅模擬法，結合利率模型和提前償還模型，建構一個完整的抵押貸款證券評價方法，以得到抵押貸款證券的理論價格。研究重點在於針對此張抵押貸款證券作特性分析，並藉由改變相關參數設定值，觀察分析其價格敏感性，如此將可得知在不同的經濟環境下，抵押貸款證券應有的價格，以提供金融機構訂定合理的發行價格參考，及作為投資者的投資策略考量。
關鍵詞：抵押貸款證券、提前償還

The goal of this paper is to value mortgage-backed securities in fixed-rate mortgages via using a Monte Carlo simulation. By employing the CIR interest rate model together with the OTS dynamic prepayment model, a computationally simulation model is created. That is, we develop a model for pricing a mortgagebacked security when interest rates are allowed to move randomly, and when prepayments are a function of interest rate movements. Besides, the sensitive analysis is conducted to further examine the effect on the price of a mortgage-backed security when the economic parameters vary. The implication of this paper is potentially useful for banks to price the mortgage-backed securities under various economic environments.
Keywords: Mortgage-backed securities, prepayment