房貸基礎證券評價運用風險中立方法之適當性
Date Issued
2005
Date
2005
Author(s)
廖堃宇
DOI
zh-TW
Abstract
Traditionally, when it comes to derivative pricing, risk neutral pricing is the widely-used methodology. However, when it applies to mortgage-backed security valuation, the risk neutral methodology may result in pricing biases. It is due to that there is no trading market for both the prepayment call option and default put option embedded in the mortgage-backed security. Therefore, the two risk factors can not be hedged away via continuous trading. This research will proceed on basis of this issue and make use of the Equilibrium Mortgage Pricing Model proposed by Chen, Liao, and Yang (2004) to implement mortgage-backed security pricing under different probability measure to investigate if the risk neutral methodology is appropriate for mortgage-backed security pricing. At the same time, the research will also study if the risk neutral methodology will affect Value at Risk measuring the market risk of the mortgage-backed security. Via a number of numerical examples, it demonstrates that large pricing biases are introduced by the risk neutral methodology when the underlying asset, the mortgage pool backing the mortgage-backed security, is not continuously traded. In addition, the risk neutral methodology also results in the measurement biases in the Value at Risk of the mortgage-backed security.
Subjects
證券化；風險中立評價
Securitization
Risk-Neutral Valuation
MBS
Type
thesis