| Project/Area Number |
14530117
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Hosei University |
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Principal Investigator |
KISHIMOTO Naoki Hosei University, Faculty of Business Administration, Professor, 経営学部, 教授 (50241766)
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| Project Period (FY) |
2002 – 2003
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| Project Status |
Completed (Fiscal Year 2003)
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| Budget Amount *help |
¥1,600,000 (Direct Cost: ¥1,600,000)
Fiscal Year 2003: ¥500,000 (Direct Cost: ¥500,000)
Fiscal Year 2002: ¥1,100,000 (Direct Cost: ¥1,100,000)
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| Keywords | CMO / Securitization of assets / CDO / Option pricing model / Path dependent securities / Supplementary variables / 証券化 / MBS |
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| Research Abstract |
In general, securitization refers to the issuance of securities backed by a pool of assets, such as loans, leases, and accounts receivables (labeled "underlying assets"), where the cash flows from these assets are paid to the holders of the securities as either interests or principals. The major contribution of this study is to propose a rational model for pricing such securities where multiple types of securities are issued backed by a single pool of assets.
The main feature of this valuation model is to explicitly account for variations in cash flow due to prepayments and defaults on the underlying assets. The prior studies valued securities issued by securitization by Monte Carlo simulation that is based on a function estimated on prepayment data. By contrast, this study first constructs a rational model for the asset holder's decision on prepayment and second lays out a framework for valuing securities issued by securitization based on the rational model for prepayments. This study shows that the proposed valuation method outperforms the prior method in computational complexity.
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