Rational Model for Pricing Securities Issued by Securitizing Assets

资产证券化发行证券定价的合理模型

• 批准号: 14530117
• 负责人: KISHIMOTO Naoki
• 金额: $ 1.02万
• 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: 2002
• 资助国家: 日本
• 起止时间: 2002 至 2003
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-14530117/
• 关键词: CMO; Securitization of assets; CDO; Option pricing model; Path dependent securities; Supplementary variables; 証券化; MBS; CMO; Securitization of assets; CDO; Option pricing model; Path dependent securities; Supplementary variables; 証券化; MBS

In general, securitization refers to the issuance of securities backed by a pool of assets, such as loans, leases, and accounts receivables (labeled "underlying assets"), where the cash flows from these assets are paid to the holders of the securities as either interests or principals. The major contribution of this study is to propose a rational model for pricing such securities where multiple types of securities are issued backed by a single pool of assets.The main feature of this valuation model is to explicitly account for variations in cash flow due to prepayments and defaults on the underlying assets. The prior studies valued securities issued by securitization by Monte Carlo simulation that is based on a function estimated on prepayment data. By contrast, this study first constructs a rational model for the asset holder's decision on prepayment and second lays out a framework for valuing securities issued by securitization based on the rational model for prepayments. This study shows that the proposed valuation method outperforms the prior method in computational complexity.

通常，证券化是指由资产库（例如贷款，租赁和应收账款（标记为“基础资产”）等资产支持的证券发行，其中这些资产的现金流向证券持有人作为利息或本金。这项研究的主要贡献是提出一个合理的模型，用于定价此类证券，在该证券中发出多种类型的证券，由单个资产库支持。该估值模型的主要特征是明确说明由于预付款而导致的现金流量变化，并且违约了基础资产。先前的研究重视通过蒙特卡洛模拟通过证券化发行的证券，该证券是基于估计预付款数据的功能。相比之下，这项研究首先构建了资产持有人对预付款的决定的合理模型，第二个为基于预付款的合理模型发行的证券化的证券提供了一个框架。这项研究表明，所提出的估值方法的表现优于计算复杂性的先前方法。