Valuation of Residential Mortgage-Backed Securities with Proportional Hazard Model: Cumulant Expansion Approach to Pricing RMBS
Valuation of Residential Mortgage-Backed Securities with Proportional Hazard Model: Cumulant Expansion Approach to Pricing RMBS
复制标题
采用比例风险模型的住宅抵押贷款支持证券估值：RMBS 定价的累积扩展法
DOI：
10.3905/jfi.2009.18.4.062
复制
发表时间：
2009
期刊：
影响因子：
--
通讯作者：
Daisuke Yoshikawa
中科院分区：
文献类型：
--
作者：
T. Ozeki;Yuji Umezawa;A. Yamazaki;Daisuke Yoshikawa
本文提出了一种采用比例风险模型的住宅抵押贷款支持证券（RMBS）定价公式。首先，我们在基于强度的框架中开发具有提前还款风险的抵押贷款合同的基本模型。接下来，假设采用比例风险模型来描述提前还款风险，该模型在学术上和实践中都被用作典型的提前还款模型；利用累积展开法推导了RMBS以及IO和PO的通用定价公式。此外，还表明该公式适用于各种类型的比例风险模型。最后，基于日本RMBS市场数据的数值算例表明，该公式非常准确，在实践中非常有用。
This paper proposes a pricing formula for residential mortgage-backed securities (RMBS) with the proportional hazard model. First, we develop basic models of mortgage contracts with prepayment risk in the intensity-based framework. Next, assuming the proportional hazard model to describe prepayment risk, which is used as a typical prepayment model both academically and in practice; a general pricing formula for not only RMBS, but also IO and PO is derived by using the cumulant expansion method. Furthermore, it is also shown that the formula is applicable to various types of the proportional hazard models. Finally, numerical examples based on Japanese RMBS market data demonstrate that the formula is very accurate and useful in practice.
基于不可观察提前还款成本过程的抵押贷款支持证券分析
影响因子：
1.7
作者：
Hidetoshi NAKAGAWA;Tomoaki SHOUDA
通讯作者：
Tomoaki SHOUDA
基于不可观察提前还款成本过程的抵押贷款支持证券提前还款模型
DOI：
--
发表时间：
2006
期刊：
Advances in Mathematical Economics 8
影响因子：
--
作者：
Hidetoshi NAKAGAWA;Tomoaki SHOUDA
通讯作者：
Tomoaki SHOUDA