碩士 / 國立臺灣大學 / 財務金融學研究所 / 90 / This research is to simulate and try to value the price of adjustable-rate mortgage backed securities with Kuo tzu-lin(2000)''''s prepayment model which is logistic regression model and CIR interest model. Besides, it adjusts slightly every important parameter which affects the price of the adjustable rate mortgage-backed securities in order to analyze its characters and property more thoroughly. The results of this study are six point as followed.
(1)The results of the simulation conform to the basic financial principle because the more times we simulate, the stronger effects revealing that the prices simulated converge toward the real standard price.
(2)When interest rate fluctuates greatly, it shows the option which attaches to the adjustable rate mortgage-backed securities more valuable. Consequently, the price of adjustable rate mortgage-backed securities will become lower.
(3)We found that up-limits of interest rate is higher during loan period, it shows the Lifetime Cap which attaches to adjustable rate mortgage-backed securities more valueless. Therefore, the price of adjustable rate mortgage-backed securities is higher than that with low up-limits.
(4)When Yearly Cap is larger, it is harder for options to be in-the-money; Therefore, the larger Yearly Cap is, the more valueless Yearly Cap is. When Yearly Cap is more valueless, the price of adjustable rate mortgage is higher.
(5)When OAS(risk premium) is higher(namely when discount rate is higher),the present value of future cash flow from Adjustable Rate Mortgage-backed is lower and hence, the price of Adjustable Rate Mortgage-backed securities is lower.
(6)When Margin is higher, the future cash flow of the security will be higher, and the price of adjustable rate mortgage-backed securities is als
| Identifer | oai:union.ndltd.org:TW/090NTU00304013 |
| Date | January 2002 |
| Creators | Huang, Chih-min, 黃至民 |
| Contributors | Liao, Hsien-hsing, 廖咸興 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 49 |
Page generated in 0.0134 seconds