Large Investor Analysis and Equilibrium Problems for Mortgage Backed Securities

抵押贷款支持证券的大投资者分析和均衡问题

• 批准号: 1613159
• 负责人: Scott Robertson
• 金额: $ 36.38万
• 依托单位: Trustees of Boston University
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 2016
• 资助国家: 美国
• 起止时间: 2016-09-01 至 2019-08-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1613159&HistoricalAwards=false
• 关键词: Large; Investor; Analysis; Equilibrium; Problems

The investigator and his colleagues study large investors in complex financial instruments. Additionally, he considers the market for mortgage-backed securities, focusing on both how fair mortgage rates are determined, and how to improve the traditional mortgage contract by taking into account the negative effects of house price decline. For the large investor analysis, the investigator seeks to answer the basic question of why a financial institution would take a large position in a derivative contract when the contract itself carries inherent risks. What about the investor and underlying market would induce such behavior? Could the investor find a willing counter-party to transact with and why? What are the feedback effects which arise from taking a large position? For the mortgage-backed security analysis, the investigator shows that current mathematical models can determine fair mortgage origination rates. As these rates are typically computed using ad-hoc methods, the analysis provides both a deeper understanding of the sensitivities of such rates on broader economic factors, and a valuable tool for predicting future rates. Lastly, the investigator studies recent proposals for adjusting the traditional mortgage contract to mitigate the "underwater" effect of buyers selectively defaulting on their loans in the event of house price decline. Such defaults impose significant costs on the lending institutions as well as the broader economy. Though various mechanisms have been suggested, rigorous proofs showing the viability, or superiority, of a given method are lacking. Such proofs will help identify which proposal should be introduced into the marketplace. Graduate students are involved in the work of the project. The investigator uses modern tools from stochastic analysis to understand large investors in derivatives markets. In particular, the theory of large deviations is appropriate, as large investors have acute sensitivities to rare events when hedging strategies fail, and large investors are seen to arise endogenously in the asymptotically complete setting where hedging errors vanish. Developing new large deviations results, as well as using theories of optimal investment and equilibrium in incomplete markets, he shows how large positions arise and describes the resultant equilibrium. Lastly, since large positions may induce feedback effects such as price impact, the investigator studies whether these effects are so severe as to preclude the existence of large investors in the first place. For the mortgage-backed security analysis, the investigator uses modern functional analysis to prove existence of fair mortgage rates for agency-backed pools of residential mortgages, taking both prepayment and default into account. Additionally, he uses the theories of continuous time optimal stopping and partial differential equations to investigate proposed changes to the traditional mortgage contract. The goal is to show that these changes either do or do not effectively reduce the homeowner's incentive to selectively default on her loan in the event her house price has declined.

这位研究者和他的同事研究了复杂金融工具的大型投资者。 此外，他还考虑了抵押贷款支持证券市场，重点关注如何确定公平的抵押贷款利率，以及如何通过考虑房价下跌的负面影响来改善传统的抵押贷款合同。 对于大型投资者的分析，研究者试图回答一个基本问题，即为什么金融机构会在衍生品合约本身带有内在风险的情况下持有大量头寸。 投资者和基础市场的什么因素会导致这种行为？ 投资者能否找到一个愿意与之交易的对手方，为什么？ 持有大量头寸会产生什么样的反馈效应？ 对于抵押贷款支持证券的分析，研究表明，目前的数学模型可以确定公平的抵押贷款发起利率。 由于这些利率通常是使用特别方法计算的，因此分析不仅可以更深入地了解这些利率对更广泛的经济因素的敏感性，还可以为预测未来利率提供有价值的工具。 最后，研究者研究了最近的建议，调整传统的抵押贷款合同，以减轻“水下”的影响，买家选择性地拖欠他们的贷款在房价下跌的情况下。 这种违约给贷款机构和更广泛的经济带来了巨大的成本。 虽然已经提出了各种机制，但缺乏证明给定方法的可行性或优越性的严格证据。 这些证据将有助于确定应将哪一项提案引入市场。 研究生参与了该项目的工作。 研究人员使用随机分析的现代工具来了解衍生品市场的大型投资者。 特别是，大偏差理论是合适的，因为大投资者对对冲策略失败时的罕见事件具有急性敏感性，并且大投资者被认为是在对冲错误消失的渐近完全设置中内生产生的。 发展新的大偏差的结果，以及使用理论的最优投资和均衡在不完全市场，他显示了如何大的立场出现，并描述了由此产生的均衡。 最后，由于大量头寸可能会引起价格影响等反馈效应，研究者研究这些效应是否严重到首先排除大投资者的存在。 对于抵押贷款支持证券分析，调查人员使用现代函数分析来证明机构支持的住宅抵押贷款池存在公平的抵押贷款利率，同时考虑到提前还款和违约。 此外，他使用连续时间最优停止和偏微分方程的理论来研究对传统抵押合同的拟议修改。 我们的目标是表明，这些变化是否有效地减少了房主在房价下跌时选择性地拖欠贷款的动机。