Pricing and Risk measurement of Mortgage-Backed Securities - Application of Value at Risk
碩士 === 國立中正大學 === 財務金融研究所 === 93 === The primary purpose of this paper is to investigates the valuation and risk measurement of MBS (mortgage backed securities). In valuation portion, I introduce three kinds of pricing models of MBS. In risk measurement portion, this paper use Value at Risk concept...
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| Format: | Others |
| Language: | en_US |
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2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/60722671617956204531 |
| Summary: | 碩士 === 國立中正大學 === 財務金融研究所 === 93 === The primary purpose of this paper is to investigates the valuation and risk measurement of MBS (mortgage backed securities). In valuation portion, I introduce three kinds of pricing models of MBS. In risk measurement portion, this paper use Value at Risk concept as a risk measurement tool of MBS. The related topic will be divided into three aspects:
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