Valuation of mortgage-backed securities

Author: 
File(s): 
Date created: 
2006
Department: 
Faculty of Business Administration - Simon Fraser University
Abstract: 

This paper attempts to provide a method for the valuation of mortgage-backed securities (MBS). Specifically, Modified Goldman Sachs model is selected to describe mortgagors' prepayment behaviour, which takes account of mortgage's refinancing incentive, aging effect, month effect and burnout effect. In this study, I will use above model to price a pass-through MBS and a plain vanilla MBS respectively. Furthermore, I use scenarios testing to discuss how MBS’s price and standard deviation (risk) change if mortgage property and model parameters change.

Thesis type: 
Project (M.A.)
Description: 
The author has placed restrictions on the PDF copy of this thesis. The PDF is not printable nor copyable. If you would like the SFU Library to attempt to contact the author to get permission to print a copy, please email your request to summit-permissions@sfu.ca.
Language: 
English
Document type: 
Thesis
Rights: 
Copyright remains with the author
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