首页    期刊浏览 2024年11月30日 星期六
登录注册

文章基本信息

  • 标题:Option-based valuation of mortgage-backed securities
  • 本地全文:下载
  • 作者:Manola Ana ; Urošević Branko
  • 期刊名称:Economic annals
  • 印刷版ISSN:0013-3264
  • 电子版ISSN:1820-7375
  • 出版年度:2010
  • 卷号:55
  • 期号:186
  • 页码:42-66
  • DOI:10.2298/EKA1086042M
  • 出版社:Faculty of Economics, Belgrade
  • 摘要:

    Pure econometric approaches to pricing mortgage-backed securities (MBSs) - principal pricing vehicles used by financial practitioners - fail to capture their true risks. This point was powerfully driven home by the global financial crisis. Since prior to the crisis default rates of MBSs were quite modest, econometric pricing models systematically underestimated the possibility of default. As a result, MBSs were severely overvalued. It is widely believed that the global crisis was largely triggered by incorrect valuation of mortgage-backed securities. In the aftermath, it is important to revisit the foundations for pricing MBSs and to pay much closer attention to default risk. This paper introduces a comprehensive model for valuation of fixed-rate pass-through mortgagebacked securities in a simple option-based framework. In the model, we use bivariate binomial tree approach to simultaneously model prepayment and default options. Our simulation results demonstrate that the proposed model has sufficient flexibility to capture the two principal risks.

  • 关键词:mortgage-backed security(MBS); prepayment; default; bivariate binomial pricing technique
国家哲学社会科学文献中心版权所有