A Study on Prepayment Risk of Residential Mortgage-backed Securitization in ChinaA Case of "JIAMEI 2018-1 MBS Program"
Xinran Jiang,
Zhichuan Yin,
Yinan Lin
et al.
Abstract:The Residential Mortgage-Backed Securities market (RMBS) has played a large role in enhancing the liquidity of mortgages, and in relieving the pressure of capital constraints on commercial banks. There are three main risks associated with residential mortgage-backed securitization: prepayment risk, interest rate risk, and default risk. This paper analyzes the prepayment risk in the "JIAMEI 2018-1"RMBS, the largest single RMBS product of the Postal Saving Bank of China (About 14 billion RMB). We introduce the J… Show more
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