本文旨在研究抵押房貸證劵（Mortgage-Backed Securities）的定價。由於抵押房貸證劵的標的物為房貸借款且借款者擁有隨時清償借款的權利，使得抵押房貸證劵的現金流量變的不確定，也因此在對抵押房貸證劵評價之前，必需先考慮借款者的提前清償。我們在文中同時考慮提前清償選擇權以及違約選擇權，並以此來描述借款者會如何選擇最有利的情形提前清償他們的借款，以便我們能夠估計每個月的提前清償率。此外，我們也分別說明短期利率及借款利率對抵押房貸證券的差異，以及可能產生的不同影響。由於貸款群組中的每位借款人特性並不相同，而我們也在模型中納入了借款人異質性的考量。此外，透過不同的模擬比較分析，我們驗證了我們的模型能夠反應出一些影響抵押房貸證券價格、加權平均壽命及存續時間的外生因素。最後，我們也提出一個將抵押房貸證券分割成不同屬性證券的方法。 In this thesis, we use both prepayment option and default option to describe prepayment behavior to find the optimal time for each mortgage holder to prepay his or her mortgage loan. Furthermore, we estimate the prepayment rate at each month. In addition, we separate the role of the short term interest rate as the discount factor from that of the mortgage interest rate as an incentive factor associated with prepayment. The characteristic of each mortgage holder in the pool is all different. Therefore, in our model, we also consider heterogeneity of each mortgage holder in the pool and assume that heterogeneity is the fraction of the remaining principal balance. In addition, through simulations, we find that our model can capture various exogenous factors which influence the price, weighted-average life and duration of MBS. Finally, we develop a way to redistribute cash flows into different tranches.
