论文信息 - Valuation of GNMA Mortgage-Backed Securities

Valuation of GNMA Mortgage-Backed Securities

GNMA mortgage-backed pass-through securities are supported by pools of amortizing, callable loans. Additionally, mortgagors often prepay their loans when the market interest rate is above the coupon rate of their loans. This paper develops a model for pricing GNMA securities and uses it to examine the impact of the amortization, call, and prepayment features on the prices, risks and expected returns of GNMA's. The amortization and prepayment features each have a positive effect on price, while the call feature has a negative impact. All three features reduce a GNMA security's interest rate risk and, consequently, its expected return.

[1] John J. McConnell,et al. Rate of Return Indexes for GNMA Securities* , 1981 .

[2] R. C. Merton,et al. Optimum Consumption and Portfolio Rules in a Continuous-Time Model* , 1975 .

[3] Eduardo S. Schwartz,et al. Savings bonds, retractable bonds and callable bonds , 1977 .

[4] T. C. Langetieg. A Multivariate Model of the Term Structure , 1980 .

[5] Eduardo S. Schwartz,et al. A continuous time approach to the pricing of bonds , 1979 .

[6] Oldrich A. Vasicek. An equilibrium characterization of the term structure , 1977 .

[7] R. C. Merton,et al. Option pricing when underlying stock returns are discontinuous , 1976 .

[8] F. Black,et al. The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.

[9] John J. McConnell,et al. A Comparison of Alternative Models for Pricing GNMA Mortgage-Backed Securities , 1981 .

[10] A. Irturk,et al. Term Structure of Interest Rates , 2006 .

[11] Jonathan E. Ingersoll,et al. AN EXAMINATION OF CORPORATE CALL POLICIES ON CONVERTIBLE SECURITIES , 1977 .

[12] S. Richard. An arbitrage model of the term structure of interest rates , 1978 .