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    National Tsing Hua University Institutional Repository > 科技管理學院  > 計量財務金融學系 > 會議論文 >  Optimal Sizing and Pricing of Credit-Sensitive Mortgage Backed Securities

    Please use this identifier to cite or link to this item: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62014

    Title: Optimal Sizing and Pricing of Credit-Sensitive Mortgage Backed Securities
    Authors: Man Cho;Yang T. Yang;Cary Lin
    教師: 林哲群
    Date: 2010
    Publisher: The American Real Estate and Urban Economics Association
    Relation: The American Real Estate and Urban Economics Association Annual Conference, Atlanta, USA,The American Real Estate and Urban Economics Association,31 March 2009,
    Keywords: Optimal
    Abstract: This paper offers a methodology for optimal sizing, or subordination, and pricing of the credit-sensitive Mortgage Backed Securities (MBS), such as ABS and CDO deals backed by subprime mortgage loans. To that end, we perform a four-step numerical analysis: first, estimating scenario-specific credit losses from a given mortgage pool backed by different collateral types by using the multi-factor Monte Carlo simulation models developed by Lin, Cho, and Yang (2009); second, structuring the pool into a ?-pack?subordination structure based on statistically-determined stress economic scenarios; third, estimating IRR and other performance indicators of determined tranches to assess and compare risk-adjusted returns thereof; and, calculating risk-based capitals as additional and policy-relevant risk measures.
    URI: http://www.areuea.org/conferences/papers/details.phtml?id=2287
    Appears in Collections:[計量財務金融學系] 會議論文

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