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

本研究项目的目的是建立一个房地产价格和利率都随机变化的CMO的合理估值模型，在我开始这个项目后，我意识到有必要详细研究房地产价格对再融资和违约的影响，以便建立一个更有意义的模型。在前面关于采用期权理论框架的抵押贷款支持证券的文献中，房地产价格通过违约来影响MBS价格，违约发生在相关贷款的房地产价格低于抵押贷款本金的情况下。然而，对Kau等人的模拟结果的仔细分析表明，抵押贷款和相应的违约保险的总价值对房地产价格的变化不敏感，因为保险的价值相应地发生变化。相反，如果相关的房地产价值低于按揭本金的某个百分比，按揭人就不能再融资的限制，可能在按揭贷款的再融资方面发挥更重要的作用。因此，今年我研究了一些我去年读过的专注于上述观点的论文，并收集了更多的论文来研究这一点。基于对现有文献的研究，我为再融资设计了新的边界条件，以改进我去年制定的CMO模型。

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.