The VaR model based market risk measurement for mortgage-based securitization

Market risk measurement plays the essential role in guiding the market risk management for Mortgage-Based Securitization (MBS). A conventional methodology for estimation of the market risk is the Value at Risk (VaR). This paper provides VaR model for market risk measurement of MBS. According to the VaR model, the research gets data from simulation technique as the loss level of the NOS and calculates the VaR of the MBS based on the data. The results show that VaR is an easy and valid way to the estimation of the market risk for MBS, and should be widely used under the trend of launching MBS in China.