2006•Journal of Tianjin Normal UniversityRequires access

Application of Competing Risk Model in Housing Mortgage-Backed Securities Pricing

HU Tian-tong

Abstract

The application of competing risk model in the pricing of housing mortgage-backed securities is discussed based on measuring models of prepayment and default.It is put forward that prepayment and default are the main risks which face the investors of housing mortgage-backed securities,and on the premise of accurate measuring for the risk of prepayment and default housing mortgage-backed securities can be priced precisely.

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Key concepts: Prepayment of loan, Mortgage underwriting, Commercial mortgage-backed security, Synthetic CDO, Secondary mortgage market, Business, Default risk, Collateralized mortgage obligation