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The Valuation of Mortgage-Backed Sec...

Dunn, Brett Radcliffe.

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The Valuation of Mortgage-Backed Securities.

Record Type:	Electronic resources : Monograph/item
Title/Author:	The Valuation of Mortgage-Backed Securities./
Author:	Dunn, Brett Radcliffe.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2020,
Description:	163 p.
Notes:	Source: Dissertations Abstracts International, Volume: 82-01, Section: A.
Contained By:	Dissertations Abstracts International82-01A.
Subject:	Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=28001636
ISBN:	9798662380769

The Valuation of Mortgage-Backed Securities.
Dunn, Brett Radcliffe.

The Valuation of Mortgage-Backed Securities. - Ann Arbor : ProQuest Dissertations & Theses, 2020 - 163 p.

Source: Dissertations Abstracts International, Volume: 82-01, Section: A.

Thesis (Ph.D.)--University of California, Los Angeles, 2020.

This item must not be sold to any third party vendors.

This dissertation focuses on a major challenge to asset pricing theory: the valuation of mortgage-backed securities.In the first chapter of this dissertation (with Mikhail Chernov and Francis A. Longstaff), we develop a three-factor no-arbitrage model for valuing mortgage-backed securities in which we solve for the implied prepayment function from the cross-section of market prices. This model closely fits the cross-section of mortgage-backed security prices without needing to specify an econometric prepayment model. We find that implied prepayments are generally higher than actual prepayments, providing direct evidence of significant macroeconomic-driven prepayment risk premiums in mortgage-backed security prices. We also find evidence that mortgage-backed security prices were significantly affected by Fannie Mae credit risk and the Federal Reserve's quantitative easing programs.In the second chapter, I study the relationship between funding liquidity and the valuation of mortgage-backed securities. Most of the financing for mortgage-backed securities occurs through a trade known as a dollar roll, the simultaneous sale and purchase of forward contracts on mortgage-backed securities that is analogous to a repurchase agreement. I develop a four-factor no-arbitrage model for valuing mortgage-backed securities that allows for the valuation of dollar rolls. Unlike previous models of the dollar roll, I allow for the possibility of a prepayment risk premium. I develop a new measure of mortgage specialness that is independent of prepayment risk premia and agency credit spreads. I find that specialness is related to measures of balance sheet constraints and primary dealer positions in mortgage-backed securities.

ISBN: 9798662380769Subjects--Topical Terms:

542899
Finance.
Subjects--Index Terms:

Mortgage-backed securities

The Valuation of Mortgage-Backed Securities.
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245 1 4 $a The Valuation of Mortgage-Backed Securities.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2020
300 $a 163 p.
500 $a Source: Dissertations Abstracts International, Volume: 82-01, Section: A.
500 $a Advisor: Longstaff, Francis A.;Chernov, Mikhail.
502 $a Thesis (Ph.D.)--University of California, Los Angeles, 2020.
506 $a This item must not be sold to any third party vendors.
520 $a This dissertation focuses on a major challenge to asset pricing theory: the valuation of mortgage-backed securities.In the first chapter of this dissertation (with Mikhail Chernov and Francis A. Longstaff), we develop a three-factor no-arbitrage model for valuing mortgage-backed securities in which we solve for the implied prepayment function from the cross-section of market prices. This model closely fits the cross-section of mortgage-backed security prices without needing to specify an econometric prepayment model. We find that implied prepayments are generally higher than actual prepayments, providing direct evidence of significant macroeconomic-driven prepayment risk premiums in mortgage-backed security prices. We also find evidence that mortgage-backed security prices were significantly affected by Fannie Mae credit risk and the Federal Reserve's quantitative easing programs.In the second chapter, I study the relationship between funding liquidity and the valuation of mortgage-backed securities. Most of the financing for mortgage-backed securities occurs through a trade known as a dollar roll, the simultaneous sale and purchase of forward contracts on mortgage-backed securities that is analogous to a repurchase agreement. I develop a four-factor no-arbitrage model for valuing mortgage-backed securities that allows for the valuation of dollar rolls. Unlike previous models of the dollar roll, I allow for the possibility of a prepayment risk premium. I develop a new measure of mortgage specialness that is independent of prepayment risk premia and agency credit spreads. I find that specialness is related to measures of balance sheet constraints and primary dealer positions in mortgage-backed securities.
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650 4 $a Business administration. $3 3168311
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710 2 $a University of California, Los Angeles. $b Management (MS/PHD) 0535. $3 2093752
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