Rational Valuation Model for CMOs Under Real Estate Price and Interest Rate Uncertainty

房地产价格和利率不确定性下CMO的理性估值模型

• 批准号: 16530218
• 负责人: KISHIMOTO Naoki
• 金额: $ 1.09万
• 依托单位: Hosei University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 2004
• 资助国家: 日本
• 起止时间: 2004 至 2005
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/en/grant/KAKENHI-PROJECT-16530218/
• 关键词: Securitization; CMO; MBS; RMBS; Option pricing

The purpose of this research project is to build a rational valuation model for CMOs where both real estate prices and interest rates change stochastically.After I started this project, I have realized that it is necessary to investigate in detail how real estate prices affect refinancing and default in order to build a more meaningful model. In the preceding literature on mortgage-backed securities that employ an option-theoretic framework, real estate prices affect MBS prices through default that occurs if the price of a real estate property underlying the loan in question falls below the principal of the mortgage loan. Yet, a close analysis of simulation results in Kau et al., "A Generalized Valuation Model for Fixed-Rate Residential Mortgages," Journal of Money, Credit, and Banking, 24(3),279-299, indicates that the total value of the mortgage and the accompanying insurance against default is insensitive to changes in real estate prices because the value of the insurance changes accordingly. Rather, the constraint that the mortgagor cannot refinance if the underlying real estate property value falls below a certain percentage of the mortgage principal may play a more significant role in refinancing of mortgage loans.Therefore, this year I have examined some of the papers I had read last year focusing on the above point and gathered more papers to investigate this point. Based on this examination of the existing literature, I have devised new boundary conditions for refinancing to improve the CMO model that I have worked out last year.

该研究项目的目的是为CMO建立合理的评估模型，在该模型中，房地产价格和利率随机变化。我启动该项目后，我意识到有必要详细调查房地产价格如何影响再融资和违约，以建立一个更有意义的模型。在使用期权理论框架的有关抵押支持证券的先前文献中，房地产价格会通过默认情况影响MBS价格，如果相关贷款背后的房地产价格低于抵押贷款的原理。然而，对仿真的仔细分析结果是Kau等人的“固定利率住宅抵押贷款的广义估值模型”，《货币，信贷和银行业杂志》，24（3），279-299，抵押贷款的总价值和随附的违约保险对违约价格的总价值对房地产价格的价值不敏感，因为房地产保险的价值对保险的价值不断变化。相反，如果基础房地产价值低于抵押贷款本金的一定比例，抵押人将无法再融资的限制在抵押贷款的再融资中起着更重要的作用。因此，今年，我已经检查了去年我读过的一些论文，这些论文专注于上述点并收集了更多论文来调查这一点。根据对现有文献的研究，我设计了新的边界条件，以改善去年我已经制定的CM​​O模型。