The Study of the Pricing of Motgage-Backed Securities - The Application of Low Discrepancy Sequence

• Main Authors: Kuang-Hui Tang, 唐光輝
• Other Authors: Chyan Yang
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/96161357327342016474

碩士 === 國立交通大學 === 經營管理研究所 === 91 === Taiwan’s financial market has faced the problem of high non-performing loan ratio for financial institutions. Moreover, the more open economy resulting from Taiwan’s ascending the internationalization of financial markets is forcing Taiwan to develop the mortgage -backed securities (MBS). Up to the present, only limited researches have ever investigated the pricing of mortgage-backed securities. While the literature has devoted less attention to the numerical methods, the objective of this research is to apply the low discrepancy sequence method to price both the fixed and adjusted interest rate mortgage pass-throughs (MPTs). In this study, an alternative method with flexibility and accuracy was proposed. The pricing procedures and the sensitivity analysis were completed. The results suggested that: （1）Low discrepancy sequences method is more efficient than the crude Monte Carlo simulation method. （2）Both the value of fixed and adjusted interest rate of MBS are positive correlated with contract interest rate. The latter is relatively less sensitive. （3）The correlation between the value of MBS and the years of loan was not significant. （4）Margin of interest rate is positive correlated with the value of MBS, but the effect of annual cap and lifetime cap are insignificant. （5）As the volatility of interest rate becomes larger, the value of MBS increases. While the volatility of interest rate becomes smaller, the value of MBS decreases. As the volatility of interest rate increases, the value of fixed rate MBS are much more sensitive than that of adjusted rate. （6）The value of MBS is positive correlated with the intensity of mean reversion, and the value of fixed rate MBS is more sensitive than that of the volatility of interest rate.