2024年06月21日 星期五 登录 EN

学术活动
Agency Mortgage-backed Securities Prepayment and Default Modeling
首页 - 学术活动
报告人:
Xiaohai Liao, Doctor, Global Capital Market, Royal Bank of Canada
邀请人:
Aihui Zhou, Professor
题目:
Agency Mortgage-backed Securities Prepayment and Default Modeling
时间地点:
10:00-11:00 June 21(Friday), N702
摘要:

Mortgage-backed Securities (MBS) is one of the largest sector in fixed income market, besides the Treasury bond market. Fixed income market (or bond market) is 3 times the size of the global equity market. Prepayment are the central concern in MBS pricing, hedging, and risk management. Mis-management of the risks can lead to financial catastrophe, e.g. subprime crisis, or more recently the collapse of Silicon Valley Bank. In this talk, I will give a brief introduction to the US housing market, from the loan origination, to the securitization of mortgage loans, the type of various risks associated with MBS. Then I will discuss the prepayment -- the borrower's option to pay off the loan before the maturity date. Discuss the different sources of the borrower's prepayment behavior. Discuss the financial requirement and different ways of building a prepayment model.