This thesis treats the valuation of the Mortgage-Backed Securities(MBS) that is recently sweeping the Korea securities market. One of the crucial points to consider in MBS pricing is the prepayment option that is affected by refinancing rate. This paper suggests the method of determining theoretical MBS pricing based on binomial tree and represents the MBS pricing methodology with a case study.
한국주택저당채권유동화주식회사 발행 MBS2001-1을 대상으로 MBS가치를 산정하였으며, 이자율기간구조와 조기상환율에 관한 이론적인 연구 방법론을 제시하였다.