Collateralized Mortgage Obligations Optimization
Abstract:
Collateralized mortgage obligations are derivatives securities based on mortgage loans which issued in different maturities, interest rates and credit ratings. In Iran attention to decision authorities for the first time allowed Iran Melli bank and Maskan bank to issue this kind of securities. One of the main questions in issuing this kind of securities is maximizing the issuer profit by choosing optimum maturity, number and size of each trench. In this paper by using combination of dynamic programming approach and Monte Carlo simulation technique we maximize the profit of issuer by optimizing the maturity of mortgage backed securities (reduce in issuing cost). Considering 3 trenches and up to 8 years maturity with 12% average rate of pool of mortgages, the result of the model determines the maturity of 4, 8 and 3 years respectively for first, second and third trenches. Compared with the proposed 5-years and non-classified mortgages, dynamic programming model leads to rise 1.2% in profit of issuer.
Language:
Persian
Published:
Financial Research, Volume:12 Issue: 30, 2011
Page:
1
magiran.com/p884193
دانلود و مطالعه متن این مقاله با یکی از روشهای زیر امکان پذیر است:
اشتراک شخصی
با عضویت و پرداخت آنلاین حق اشتراک یکساله به مبلغ 1,390,000ريال میتوانید 70 عنوان مطلب دانلود کنید!
اشتراک سازمانی
به کتابخانه دانشگاه یا محل کار خود پیشنهاد کنید تا اشتراک سازمانی این پایگاه را برای دسترسی نامحدود همه کاربران به متن مطالب تهیه نمایند!
توجه!
- حق عضویت دریافتی صرف حمایت از نشریات عضو و نگهداری، تکمیل و توسعه مگیران میشود.
- پرداخت حق اشتراک و دانلود مقالات اجازه بازنشر آن در سایر رسانههای چاپی و دیجیتال را به کاربر نمیدهد.
In order to view content subscription is required
Personal subscription
Subscribe magiran.com for 70 € euros via PayPal and download 70 articles during a year.
Organization subscription
Please contact us to subscribe your university or library for unlimited access!