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摘要翻译：
2007年和2008年的信贷危机使人们对用于抵押贷款支持证券定价的模型产生了极大的关注。许多机构严重依赖信贷机构提供的信用评级。信贷机构的管理层和发债人之间的关系可能会导致这些证券定价时的利益冲突，从而导致机构买家错误的风险假设和价值预期。尽管存在复杂的模型，但机构买家在考虑这些产品所涉及的风险时，还是依赖这些评级。由于信用风险和提前还款风险，对非机构MBS感兴趣的机构投资者尤其脆弱。本文描述了一个简单的非代理MBS和CMO的仿真模型。仿真模型建立在现有机构MBS模型的基础上。它利用《巴塞尔二号协议》规定的资本要求中使用的现有模型，将抵押贷款买家的信用风险纳入其中。
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英文标题：
《A Simplified Approach to modeling the credit-risk of CMO》
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作者：
K. Rajaratnam
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最新提交年份：
2012
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
The credit crisis of 2007 and 2008 has thrown much focus on the models used to price mortgage backed securities. Many institutions have relied heavily on the credit ratings provided by credit agency. The relationships between management of credit agencies and debt issuers may have resulted in conflict of interest when pricing these securities which has lead to incorrect risk assumptions and value expectations from institutional buyers. Despite the existence of sophisticated models, institutional buyers have relied on these ratings when considering the risks involved with these products. Institutional investors interested in non-agency MBS are particularly vulnerable due to both the credit risks as well as prepayment risks. This paper describes a simple simulation model that model non-agency MBS and CMO. The simulation model builds on existing models for agency MBS. It incorporates credit risks of mortgage buyers using existing models used in capital requirements as specified by the Basel II Accord.
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PDF链接：
https://arxiv.org/pdf/0903.1643
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