Volume 4, Issue 2, April 2016, Page: 21-28
Research on Mortgage-Backed Securitization Structure
Yang Yue, Department of Mathematics, Dalian Naval Academy, Dalian, China
Yu Bo, Department of Mathematics, Dalian Naval Academy, Dalian, China; Department of Mathematics, Dalian University of Technology, Dalian, China
Received: Mar. 6, 2016;       Published: Mar. 6, 2016
DOI: 10.11648/j.sjams.20160402.11      View  3159      Downloads  89
Abstract
Asset securitization is an important way to improve bank asset liability structure, and can offer investors financial tools with high yields. Owing to the rapid and stable development of the financial market, the large-scale asset securitization age is on the way. To establish a complete and reasonable mortgage-backed securitization structuring model, this paper firstly introduced a method to estimate the repayment default rate based on distributional robust optimization. Then it improved a credit rating system by containing an option on the mortgage market value. Finally it proposed to use the dynamic programming model to structure the mortgage-backed securities. It is supposed to make a contribution to the financial innovation in China and put forward fresh ideals.
Keywords
Dynamic Programming, Mortgage-Backed Securitization, Distributional Robust Optimization, Default Rate, Credit Rating
To cite this article
Yang Yue, Yu Bo, Research on Mortgage-Backed Securitization Structure, Science Journal of Applied Mathematics and Statistics. Vol. 4, No. 2, 2016, pp. 21-28. doi: 10.11648/j.sjams.20160402.11
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