The Study of Mortgage-Backed Securitization-Comparative-Static Analysis

• Main Authors: Ya-chin Kao, 高雅琴
• Other Authors: Cheng-Lien Lang
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/57197149989845439827

碩士 === 義守大學 === 財務金融學系碩士班 === 93 === This paper uses the comparative-static analysis which proposed by Oldfield (2000) to analysis the change of exogenous variables (ex. trust expenses and the ratio of trust expenses to interest), the method is structured of MPTS and CMO that is chosen based on maximum the underwriter’s profit to reach the optimal issued quantities and pricing. Our findings are following: 1.the trust expenses is increasing (decreasing) when the interest is increasing (decreasing). 2.the optimal issued quantities of MPTS are increasing (decreasing) when the total trust expenses is increasing (decreasing), the above mentioned is to reach economies of scale.3.the ratio of trust expenses to interest is positive correlation with the optimal issued quantities, pricing and the potential demand of the MPTS and CMO, it is negative correlation with the price elasticity of demand.