Research on Mortgage-Backed Securitization Structure
نویسندگان
چکیده
منابع مشابه
A Discussion on Development of China’s Housing Mortgage-backed Securitization and American Experiences
China’s real estate market develops fast. And the demand for housing mortgage is increasing at the same time. However, because of its long period and poor liquidity, the increasing personal housing mortgage will inevitably add more risks for commercial banks in their asset-debt management. It is a must to apply the housing mortgage-backed securitization. This paper discusses the development of ...
متن کاملMeasuring the Effects of Prepayments on Mortgage-Backed Securities
Mortgage-backed securities differ from corporate and government bonds in that their cash flows cannot be estimated with certainty, since homeowners often prepay their mortgages. Prepayments may include sale of the property, refinancing, curtailments, or liquidation of the property due to foreclosure. Standard fixed-income measurements, which allow investors to compare different types of bonds, ...
متن کاملSecuritization Networks and Endogenous Financial Norms in U.S. Mortgage Markets∗†
We develop a theoretical model of a network of intermediaries, which we apply to the U.S. mortgage market. In our model, heterogeneous financial norms and systemic vulnerabilities arise endogenously. Intuitively, the optimal behavior of each intermediary, in terms of its attitude toward risk, the quality of the projects that it undertakes, and the intermediaries it chooses to interact with, is ...
متن کاملOptimal Design of PAC-Companion Structure for Mortgage Backed Securities Using Cash Reserve
Owing to the agentification of the Government Housing Loan Corporation, Japanese private financial institutions are now developing long-term fixed-rate loans. In order to reduce the risk of yielding mismatches between asset and liability, financial institutions will sell out their loans by securitization instead of holding loans themselves. Mortgage backed security (MBS) is a product of mortgag...
متن کاملRational Prepayment and the Valuation of Mortgage-Backed Securities
This article presents a new model of mortgage prepayments, based on rational decisions by mortgage holders. These mortgage holders face heterogeneous transaction costs, which are explicitly modeled. The model is estimated using a version of Hansen’s (1982) generalized method of moments, and shown to capture many of the empirical features of mortgage prepayment. Estimation results indicate that ...
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ژورنال
عنوان ژورنال: Science Journal of Applied Mathematics and Statistics
سال: 2016
ISSN: 2376-9491
DOI: 10.11648/j.sjams.20160402.11