Relevant bibliographies by topics / Mortgage-backed securities - Valuation

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  2. Dissertations / Theses
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Academic literature on the topic 'Mortgage-backed securities - Valuation'

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Published: 4 June 2021
Last updated: 12 February 2022

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Journal articles on the topic "Mortgage-backed securities - Valuation"

1

Manola, Ana, and Branko Urosevic. "Option-based valuation of mortgage-backed securities." Ekonomski anali 55, no. 186 (2010): 42–66. http://dx.doi.org/10.2298/eka1086042m.

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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.
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SCHWARTZ, EDUARDO S., and WALTER N. TOROUS. "Prepayment and the Valuation of Mortgage-Backed Securities." Journal of Finance 44, no. 2 (June 1989): 375–92. http://dx.doi.org/10.1111/j.1540-6261.1989.tb05062.x.

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Stanton, Richard. "Rational Prepayment and the Valuation of Mortgage-Backed Securities." Review of Financial Studies 8, no. 3 (July 1995): 677–708. http://dx.doi.org/10.1093/rfs/8.3.677.

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Longstaff, Francis A. "Borrower Credit and the Valuation of Mortgage-Backed Securities." Real Estate Economics 33, no. 4 (December 2005): 619–61. http://dx.doi.org/10.1111/j.1540-6229.2005.00133.x.

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Kolbe, Andreas, and Rudi Zagst. "Valuation of Mortgage-Backed Securities and Mortgage Derivatives: A Closed-Form Approximation." Applied Mathematical Finance 16, no. 5 (November 11, 2009): 401–27. http://dx.doi.org/10.1080/13504860902781419.

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Mcconnell, John J., and Manoj K. Singh. "Prepayments and the Valuation of Adjustable Rate Mortgage-Backed Securities." Journal of Fixed Income 1, no. 1 (June 30, 1991): 21–35. http://dx.doi.org/10.3905/jfi.1991.692344.

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Kariya, Takeaki, Fumiaki Ushiyama, and Stanley R. Pliska. "A three‐factor valuation model for mortgage‐backed securities (MBS)." Managerial Finance 37, no. 11 (September 27, 2011): 1068–87. http://dx.doi.org/10.1108/03074351111167947.

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Chernov, Mikhail, Brett R. Dunn, and Francis A. Longstaff. "Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities." Review of Financial Studies 31, no. 3 (December 14, 2017): 1132–83. http://dx.doi.org/10.1093/rfs/hhx140.

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Jegadeesh, Narasimhan, and Xiongwei Ju. "A Non-Parametric Prepayment Model and Valuation of Mortgage-Backed Securities." Journal of Fixed Income 10, no. 1 (June 30, 2000): 50–67. http://dx.doi.org/10.3905/jfi.2000.319237.

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Tae, Hyeon-Wuk, Ung-Gi Seo, Bong-Gyu Jang, Jun Kim, Jong-Hyuk Roh, and Seryoong Ahn. "The Valuation of Pass-Through Mortgage-Backed Securities in Korean Market." Journal of Derivatives and Quantitative Studies 25, no. 3 (August 31, 2017): 305–37. http://dx.doi.org/10.1108/jdqs-03-2017-b0001.

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This paper introduces a basic model and an extended model to evaluate the pass-through mortgage-backed securities (MBS) recently issued by Korea Housing Finance Corporation. The basic model assumes that the processes of interest rates, prepayment rates, and option-adjusted spreads have simple forms, of which parameters can be easily estimated by the market data available today. This paper presents the pricing formula on the basic model and the demonstrations under the present market data. We also suggest an extended model, a new but complicated model for pricing pass-through MBS, in which the interest rates and prepayment rates follow stochastic processes, and the option-adjusted spread is decomposed into one from refinancing and the other from mortgage turnover. However, since this kind of pass-through MBS has been traded in Korean financial market only recently, the market parameters in the extended model are not able to be estimated properly. We, instead, develop the pricing formula under the extended model and present the process of estimation of the parameters of the model. The participants in Korean MBS market can price the pass-through MBS for now under the basic model with limited set of data available, and later, when the market data is accumulated enough to estimate the parameters properly, they can take advantage of the extended model.
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Dissertations / Theses on the topic "Mortgage-backed securities - Valuation"

1

Cheng, Yanli. "Modelling of mortgage prepayment and the valuation of mortgage-backed securities." Thesis, University of Surrey, 2011. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.551258.

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While option-theoretic models are widely used in valuation of other fixed-income instruments, their applications for the valuation of mortgage-backed securities face challenges. Mortgages are explicitly written with a call option, which allows mortgagors to prepay their mortgages any time before the maturity. The magnitude and timing of exercising the prepayment options are not purely driven by economic factors, but also the mortgagor's individual preferences and personal behaviours. This brings difficulties to valuing mortgage-backed securities with conventional models. In this thesis we aim to explore the prepayment risk caused uncertainties in valuation of mortgage-backed securities. We start with empirically examining an option-theoretic model proposed by Kalotay, Yang and Fabozzi (2004). This model has special features to treat borrower heterogeneity and suboptimal exercises of the prepayment options. Based on the empirical results, we propose to employ linear prepayment functions to model borrower heterogeneity. The new MBS valuation model with the integration of linear prepayment functions is also tested with empirical data. Our results suggest that mortgages with different coupon rates have different refinancing tendencies even towards the same market rate change. Therefore, assuming the same refinancing pattern to all classes of mortgages may lead to errors in pricing mortgages and MBSs. For mortgages with coupon rate below the prevailing refinancing rate (as proxied by the 30 year libor rate) plus the refinancing cost, a prepayment function with a low initial prepayment rate and a high slope will model the prepayments best. On the other hand, for mortgages with coupon rate above the current refinancing rate plus the refinancing cost, a prepayment function with a high initial prepayment and a mild slope will perform best. Meanwhile, refinancing burnout is also an important factor in modelling mortgage prepayment. Our results suggest that when the underlying mortgages are seasoned mortgages, especially when the prepayment option has been deep-in-the-money for a long time, the low initial prepayment high slope function will model their prepayments the best. Once these different refinancing tendencies are factored in the modelling of mortgage prepayment, the accuracy of the MBS valuation model is greatly improved.
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2

黃瑞斌 and Sui-pan Ben Wong. "Pricing of mortgage-backed securities via genetic programming." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2001. http://hub.hku.hk/bib/B31225342.

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Tang, Yuxiao. "Valuation of Mortgage Backed Securities with Prepayment using BDT Model and Monte Carlo Methods." Digital WPI, 2015. https://digitalcommons.wpi.edu/etd-theses/1184.

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Mortgage backed securities are one of the most important asset classes available to fixed income investors. They are also essential to the functioning of the financial and housing market by providing liquidity to the home mortgage market. Proliferation and wide spread acceptance of mortgage backed securities resulted in a significant deduction of the interest rates for home mortgages. The 2007-2010 financial crisis sparked enhanced scrutiny of the accuracy of the pricing of mortgage backed securities. The purpose of the present thesis is to develop a computer based mathematical methodology to accurately price individual mortgages that are the fundamental assets underlying every mortgage backed security. The focus of this paper is to correctly account for inherent interest rate and prepayment risk. Default risk is not subject of this project. Interest rate risk is handled in the framework of the arbitrage free Black-Derman-Toy (BDT) model. Public Securities Association’s (PSA) model is used to simulate prepayment risk. Monte Carlo simulation methodology is developed to evaluate the properly discounted current value of the risky cash flows and hence value the mortgages. The computational algorithms are implemented in R.
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Surkov, Vladimir. "Valuation of mortgage-backed securities in a distributed environment." 2004. http://link.library.utoronto.ca/eir/EIRdetail.cfm?Resources__ID=81044&T=F.

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Quick, Roger D. "Prepayment and the valuation of Canadian mortgage-backed securities : a proportional hazards approach." Thesis, 1997. http://hdl.handle.net/2429/6359.

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This paper estimates both parametric and non-parametric proportional hazards models for a subset of Canadian mortgage-backed security data. The estimated parametric hazard function is then used to drive exogenous prepayments within an arbitrage-free model of the term structure of interest rates. Theoretical prices as well as option-adjusted spreads (OAS) are obtained for three different mortgage-backed securities using a Monte-Carlo simulation. Though no formal test is done to compare the ability of the different hazard models to explain observed market prices, the non-parametric baseline hazard is more consistent with the age-dependent prepayment provisions typical of most mortgage contracts in Canada.
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王清鴻. "THE EFFECTS OF REGIONAL DIFFERENCE ON THE VALUATION OF MORTGAGE BACKED SECURITIES." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/19907470173592883610.

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Li, Jiun-Min, and 李俊民. "The Valuation of Real Estate Mortgage Backed Securities─A Case Study of Chinatrust RMBS." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/28692583722178578432.

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碩士
世新大學
財務金融學研究所(含碩專班)
94
Since the Financial Asset Securitization law has been established, financial Asset Securitization markets become more and more popular. In this paper, we will investigate the pricing analysis of the Chinatrust Real Estate Mortgage Backed Securities. The 17 groups of mortgage loan estimate prepayment rate on Proportional-Hazard Model, is better than common literature that only consider 1 group of mortgage loan to investigate prepayment behavior, can reaction individual borrower’s behavior of prepayment. And use econometrics model predict forward interest to build a yield curve by spot interest rate and forward interest rate, then construct Hull and White trinomial interest tree combine the cash flow of each node for 4 class certificates. In this paper we hope the case of Chinatrust Real Estate Mortgage Backed Securities can be a reference on living example in valuation. In this paper the valuation of Chinatrust Real estate Mortgage Backed Securities, the product had been issued and had issued price could be empirical research. In this paper, we find that the simulated prices of class A, class B, and class C certificates are all below than the respective issued price. However, the simulated price of class D certificates is slightly higher than the issued price. Actually, the risks of class A, class B or class C certificates are less than that of class D certificates, therefore, investor would intend to buy a less risk certificates at prices higher than the issued price; class D certificates is more risky, hence investor would buy that at a lower price, and the difference between the issued price and the simulated price could be regarded as a risk premium.
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FAN, CHIH JENG, and 范志仁. "The Valuation of Mortgage-Backed Securities by two-factor Hull and White Interest Rate Model." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/85309209457656388129.

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碩士
國立高雄第一科技大學
金融營運系碩士班
89
The effect of a valuation of mortgage-backed security includes the uncertainly of the risk of default and prepayment. Previous researches on the valuation of mortgage-backed securities, have been focused on the one-factor security valuation framework, that the borrower will prepay when the mortgage’s coupon rate exceeds refinancing rate. This article provides two-factor security valuation framework, considering the fluctuation of interest rate（Hull-White）and mortgaged house values. The two factors are interest and mortgaged house values. Assuming that interest rate follows Hull and White model and the mortgaged house values follows lognormal model. We use the method of valuation procedures that Hilliard, Kau, and Slawson（1998）jointly developed and the equations of forward induction that Dharan（1991）introduced to value MBS in lattice. Finally, we summarize our valuation results as follow： 1.The higher the house values volatility emerges, the lower the value of MBS appears. 2.The higher the interest rate volatility emerges, the higher the value of MBS appears. 3.The higher the mean-reverting parameter emerges, the higher the value of MBS appears. 4.The larger the speed-of-prepayment parameter emerges, the lower the value of MBS appears.
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Tzeng, Wen-Hui, and 曾文輝. "The Valuation and Interest Rate Sensitivity of the Adjustable Rate Mortgage Backed Securities in Taiwan." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/9vjv74.

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碩士
國立交通大學
財務金融研究所
92
Mortgage Backed Securities(MBS) is a kind of Fixed Income Securities, In order to valuate this kind of Securities, we must create related term structure of interest rate. Since other factors such as Amortization, Prepayment, Cap and Floor options which are absent in other general Fixed Income Securities also affect the MBS pricing and interest rate risk, In the MBS pricing process, We should take account of these factors. This article valuate adjustable rate MBS price and examine the interest rate sensitivities by comparing different equilibrium interest rate models which are difference in volatility assumption, They are OU、CIR and Linear Drift CEV Diffusion process. We use the maximum likelihood method to estimate the parameters of various interest rate models and use partial adjustment model to describes the relation between market interest rate and mortgage index, We find it in the pure floater circumstance there are no large difference in MBS valuation results among these three interest rate process, and through the option adjusted duration method we find that there are positive correlation between Cap and Margin with the MBS price, in contrast with these, there are negative correlation between adjustment period and Teaser rate with the MBS price. On the side of interest rate sensitivities analysis, all relative results are opposite to that the correlation between MBS price and factors we discuss above. Finally, we investigate the interest rate sensitivities of various mortgage indices which are difference in speed adjusted to market interest rate, we find that the different dynamics of the major ARM indices lead to significant variation in the interest rate sensitivities of loans based on different indices.
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Yu, Alex, and 余遠琪. "The Valuation of Mortgage-Backed Securities: the Option-Adjusted Spread by Combining HJM Interest Rate Model and PHM Repayment Model." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/02780304204911110549.

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碩士
國立雲林科技大學
財務金融系碩士班
91
Mortgage-backed securities (MBS) are the originators use mortgage loans as collateral to issue bonds in the capital markets. After thirty years development in US Markets, the instruments have become the most popular fixed income products in the bond markets. The valuation of mortgage-backed securities involves both of interest rate risk and prepayment uncertainty. This study attempts the Heath-Jarrow-Morton (HJM) interest model for describing the forward rate dynamics and proportional hazard model (PHM) as the prepayment method to evaluate MBS. In addition, the option adjusted spread (OAS) is employed to calculate the option premium implied in the MBS. The empirical results show: (1) the deviation of static cash flow yields from market quotations is about 8 basis points; (2) the OAS under the HJM ranges from 64.43 bps to 65.74 bps; (3) when considering the PHM prepayment possibility, the OAS is between 78.98 bps and 79.80 bps; (4) therefore, the prepayment option premium lies in range of 14.06 bps and 14.55 bps.
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Books on the topic "Mortgage-backed securities - Valuation"

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Davidson, Andrew S. Mortgage-backed securities workbook. Chicago: Irwin, 1996.

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Bartlett, William W. The valuation of mortgage-backed securities. Burr Ridge, Ill: Irwin Professional Pub., 1994.

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Richard, Scott F. Mortgage securities research. [New York, N.Y.]: Goldman Sachs, 1990.

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Davidson, Andrew S. Mortgage-backed securities: Investment analysis & advanced valuation techniques. Chicago: Probus Pub. Co., 1994.

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Longstaff, Francis A. Optimal recursive refinancing and the valuation of mortgage-backed securities. Cambridge, MA: National Bureau of Economic Research, 2004.

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Longstaff, Francis A. Optimal recursive refinancing and the valuation of mortgage-backed securities. Cambridge, Mass: National Bureau of Economic Research, 2004.

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Hjerpe, Edward A. Stripped mortgage-backed securities: An economic analysis and valuation simulation. Washington, D.C: Office of Policy and Economic Research, Federal Home Loan Bank Board, 1987.

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Hjerpe, Edward A. Stripped mortgage-backed securities: An economic analysis and valuation simulation. Washington, D.C: Office of Policy and Economic Research, Federal Home Loan Bank Board, 1987.

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Davidson, Andrew S. Collateralized mortgage obligations: Analysis, valuation and portfolio strategy. Chicago: Probus Publishing, 1994.

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United States. Congress. House. Committee on Financial Services. Subcommittee on Capital Markets, Insurance, and Government Sponsored Enterprises. Broken dreams in the Poconos: The response of the secondary markets and implications for federal legislation : field hearing before the Subcommittee on Capital Markets, Insurance and Government Sponsored Entereprises [sic] of the Committee on Financial Services, U.S. House of Representatives, One Hundred Eighth Congress, second session, June 14, 2004. Washington: U.S. G.P.O., 2004.

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Book chapters on the topic "Mortgage-backed securities - Valuation"

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D’Ecclesia, Rita L., and Stavros A. Zenios. "Valuation of the Embedded Prepayment Option of Mortgage-Backed Securities." In Financial Modelling, 179–96. Heidelberg: Physica-Verlag HD, 1994. http://dx.doi.org/10.1007/978-3-642-86706-4_10.

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Nakagawa, Hidetoshi, and Tomoaki Shouda. "Valuation of mortgage-backed securities based on unobservable prepayment costs." In Advances in Mathematical Economics, 123–47. Tokyo: Springer Japan, 2004. http://dx.doi.org/10.1007/978-4-431-68450-3_6.

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Davidson, Andrew, and Alexander Levin. "Investors in Mortgage-Backed Securities." In Mortgage Valuation Models, 39–53. Oxford University Press, 2014. http://dx.doi.org/10.1093/acprof:oso/9780199998166.003.0004.

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Joshi, Rajashri (Priya), Tom Davis, and Bill McCoy. "Valuation of Mortgage-Backed Securities." In The Handbook of Mortgage-Backed Securities, 503–30. Oxford University Press, 2016. http://dx.doi.org/10.1093/acprof:oso/9780198785774.003.0024.

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"Valuation of Mortgage-Backed Securities." In The Securitization Markets Handbook, 97–129. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2012. http://dx.doi.org/10.1002/9781118531754.ch3.

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"The Valuation of Fixed-Income Securities." In Investing in Mortgage-Backed and Asset-Backed Securities, 53–68. Hoboken, NJ, USA: John Wiley & Sons, Inc, 2016. http://dx.doi.org/10.1002/9781118949108.ch4.

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"Valuation of Mortgage-Backed and Asset-Backed Securities." In Introduction to Fixed Income Analytics, 247–71. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2011. http://dx.doi.org/10.1002/9781118266649.ch9.

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Dyer, Matthew. "Valuing and Analyzing Mortgage-Backed and Asset-Backed Securities." In Debt Markets and Investments, 477–98. Oxford University Press, 2019. http://dx.doi.org/10.1093/oso/9780190877439.003.0026.

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This chapter discusses how to value and analyze asset-backed securities (ABSs) with an emphasis on mortgage-backed securities (MBSs). Valuation differs fundamentally from traditional fixed-income securities due to the risks presented by fluctuations in the securities’ monthly cash flows derived from unscheduled principal repayments. For an MBS, prepayments, which are largely a function of interest rates, housing turnover, refinancing sensitivity, burnout, and a host of borrower inefficiencies, can cause drastic fluctuations in the security’s theoretical or intrinsic value. Once an estimate of forecasted prepayment rates and default rates, if applicable, has been calculated, monthly cash flows are determined and discounted at the appropriate discount rate. Spread measures such as the zero-volatility spread (Z-spread) and the option-adjusted spread can be used to approximate the necessary discount rates applicable to monthly cash flows, the latter of which can be calculated via the Monte Carlo simulation method.
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Weiner, Jonathon. "Modeling Prepayments and Defaults for MBS Valuation." In The Handbook of Mortgage-Backed Securities, 531–59. Oxford University Press, 2016. http://dx.doi.org/10.1093/acprof:oso/9780198785774.003.0025.

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Davidson, Andrew, and Alexander Levin. "Applications of the Option-Adjusted Spread Valuation Approach to Agency Mortgage-Backed Securities." In Mortgage Valuation Models, 198–220. Oxford University Press, 2014. http://dx.doi.org/10.1093/acprof:oso/9780199998166.003.0011.

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Conference papers on the topic "Mortgage-backed securities - Valuation"

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Gumparthi, Srinvas, G. Sollarasu, and V. Manickavasagam. "Property valuation model for investment decision: (Special reference to Commercial Mortgage Backed Securities (CMBS))." In 2010 International Conference on Financial Theory and Engineering (ICFTE). IEEE, 2010. http://dx.doi.org/10.1109/icfte.2010.5499411.

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Reports on the topic "Mortgage-backed securities - Valuation"

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Longstaff, Francis. Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities. Cambridge, MA: National Bureau of Economic Research, April 2004. http://dx.doi.org/10.3386/w10422.

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Chernov, Mikhail, Brett Dunn, and Francis Longstaff. Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities. Cambridge, MA: National Bureau of Economic Research, March 2016. http://dx.doi.org/10.3386/w22096.

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