Pricing Mortgage-Backed Security: An Empirical Analysis

摘要: Abstract This article summarizes the factors and basic theory in mortgaged-backed securities pricing, builds suitable models for Chinese MBS product, carries out empirical study on Jianyuan 2007-1RMBS. By assimilating successful experiences of developed countries regions, BDT model is applied to construct term structure 1-year interest rate, then under assumption that CPR 100% PSA, binary tree rate path generated through Monte-Carlo simulation, finally, option-adjusted spread (OAS) values three tranches are calculated. The conclusion when OAS low, nominal equals or slightly higher than OAS, while difference will gradually expand with increasing. Moreover, pricing method more adapts market-oriented rates, can be used as reference future.