| Summary: | 碩士 === 國立臺灣大學 === 財務金融學研究所 === 88 === Option-Adjusted-Spread analysis has became the most popular pricing method of Mortgage-Backed Securities because OAS takes interest rate volatility and volatility of cash flow caused by prepayment into consideration. However, the result of OAS analysis is dependent on the prepayment model and interest rate model. Besides, taking OAS as risk premium will neglect the error between prepayment model and market-expected prepayment behavior. Furthermore, OAS can’t reflect the change of market-expected prepayment behavior in time because OAS uses historical prepayment data. On the contrary, Implied Prepayment can eliminate the error of traditional OAS analysis by using market-expected prepayment behavior from market price of MBSs. The results of this study shows that the integrated pricing model combining Implied Prepayment, the MBSs issuer’s yield curve, Effective Cash Flow, and Hull-White trinomial interest rate model has pricing errors less than 0.1% in 3 different situations. Therefore, the pricing method of this study not only have rigid theoretic base but also is practical.
|
|---|
