英文摘要 |
The goal of this paper is to value mortgage-backed securities in fixed-rate mortgages via using a Monte Carlo simulation. By employing the CIR interest rate model together with the OTS dynamic prepayment model, a computationally simulation model is created. That is, we develop a model for pricing a mortgage- backed security when interest rates are allowed to move randomly, and when prepayments are a function of interest rate movements. Besides, the sensitive analysis is conducted to further examine the effect on the price of a mortgage-backed security when the economic parameters vary. The implication of this paper is potentially useful for banks to price the mortgage-backed securities under various economic environments. |