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.

本研究的目的是在真实的房地产价格和利率都随机变化的情况下，为CMO建立一个合理的估值模型。在开始这个项目后，我意识到有必要详细研究真实的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。在之前的文献中，抵押贷款支持证券采用期权理论框架，真实的房地产价格影响MBS价格通过违约发生，如果价格的真实的房地产物业的基础贷款的问题福尔斯低于本金的抵押贷款。然而，对Kau等人的模拟结果的仔细分析，“A Generalized Valuation Model for Fixed-Rate Residential Mortgages，”Journal of Money，Credit，and Banking，24（3），279 -299指出，抵押贷款和附带的违约保险的总价值对真实的房地产价格的变化不敏感，因为保险的价值相应地变化。相反，如果按揭人的物业价值福尔斯按揭本金的某个百分比，他便不能转按的限制，可能对按揭贷款的转按有更大的影响，因此，我今年参考了去年看过的一些有关这一点的文件，并搜集了更多的文件来研究这一点。基于对现有文献的研究，我设计了新的再融资边界条件，以改进我去年提出的CMO模型。