Commercial Mortgage Backed Security Sensitivity Analysis

This work can serve as the foundation of relative value strategies and portfolio sensitivity analysis. This project research on building a strategy for analyzing the sensitivity of mortgage backed securities (MBS) pool pricing to changes in financial market and underlying security characteristics, such as the property value of the underlying real estate. There is a large database including real estate property location, real estate price indices by region and property type, as well as mortgage security pool information. The intern will help to build the mathematical and econometric models for MBS pricing and develop fast computer algorithm to analyze the database, such as estimate the joint probability of default of pool mortgages, the implied parameters and sensitivities for each MBS pool, and their correlations for all securitized properties.

Faculty Supervisor:

Dr. George Blazenko

Student:

Zhixiang Yang

Partner:

Pavlov Consulting Inc.

Discipline:

Business

Sector:

Finance, insurance and business

University:

Simon Fraser University