CMOs의 가치평가에 관한 연구: 채무불이행 위험을중심으로

초록

MBS is not active in Korea due to difficulties in evaluation. In the appraisal of MBS, the default risk is a cost that someone has to bear even if the government agency removes it through relevant guarantees. In this study, five CMOs data are evaluated and analyzed through the financial model developed based on traditional capital budgeting theory, option pricing theory, and Cho & Jun(2019)’s model recognizing that housing price fluctuation is an important factor affecting the default risk in MBS. Finally, the results drawn from this study help provide a theoretical framework for the valuation of MBS and show relevant implications for rational decision-making to MBS-related entities.

키워드