THE SYSTEM-DYNAMIC MODEL OF EARLY REPAYMENT OF MORTGAGE CREDITS: RISKS AND PROFITABILITY
https://doi.org/10.21686/2413-2829-2016-6-74-85
Abstract
The article deals with key points of the mortgage securities analysis. The system-dynamic model of early repayment of credits included in mortgage cover was developed. The model allows to assess the impact of the speed of early repayment on appeal of securities and to find out principle risks which the mortgage securities investor faces. With the help of the model the authors analyze the real speed of early repayment of credits included in mortgage cover of securities issued on Russian market and find key causes of the speed altering. The prospects of developing the Russian market of secondary mortgage crediting in the near future were reviewed. It was shown that the analysis can be taken into account by Russian investors interested in long-term investment with max profitability. The system-dynamic model designed by the authors will allow the potential investors to analyze the appeal of certain mortgage securities on the basis of the information about the source of cash payments (mortgage pull).
About the Authors
Vasiliy M. Kartvelishvili
Plekhanov Russian University of Economics
Russian Federation
Russian Federation
Doctor of Physico-Mathematical Sciences, Professor of the Department for Mathematical Methods in Economics of the PRUE
36 Stremyanny Lane, Moscow, 117997, Russian Federation
Anna V. Nikolaeva
Plekhanov Russian University of Economics
Russian Federation
Russian Federation
Post-Graduate Student of the Department for Mathematical Methods in Economics of the PRUE
36 Stremyanny Lane, Moscow, 117997, Russian Federation
References
1. Akopov A. S. Sistemno-dinamicheskoe modelirovanie strategii bankovskoy gruppy [The System-Dynamic Modeling of the Bank Group Strategy]. Biznes-informatika [Business-Information Science], 2012, No. 20 (2), pp. 10–19. (In Russ.).
2. Davidson E. Sek'yuritizatsiya ipoteki: mirovoy opyt, strukturirovanie i analiz [Securitization of Mortgage: World Experience, Structuring and Analysis], translated from English. Moscow, Vershina, 2007. (In Russ.).
3. Kartvelishvili V. M., Nikolaeva A. V. Ipotechnoe kreditovanie v Rossii: na poroge peremen [Mortgage Crediting in Russia: on the Threshold of Changes]. Nauka i praktika [Science and Practice], 2015, No. 1 (17), pp. 15–23. (In Russ.).
4. Kopeykin A. B., Rogozhina N. N., Tuktarov Yu. E. Ipotechnye tsennye bumagi [Mortgage Securities]. Moscow, Institute of City Economics, 2008. (In Russ.).
5. Nikolaeva A. V. Sistemno-dinamicheskaya model' rynka ipotechnogo kreditovaniya v Rossii [System Dynamics Model of the Mortgage Lending Market in Russia]. Vestnik Rossiyskogo ekonomicheskogo universiteta imeni G. V. Plekhanova [Vestnik of the Plekhanov Russian University of Economics], 2016, No. 1 (85), pp. 112–121. (In Russ.).
6. Hayer L. Tsennye bumagi, obespechennye ipotekoy i aktivami [Securities with Collateral through Mortgage and Assets], translated from English. Moscow, Al'pina Biznes Buks, 2007. (In Russ.).
Review
For citations:
Kartvelishvili V.M., Nikolaeva A.V. THE SYSTEM-DYNAMIC MODEL OF EARLY REPAYMENT OF MORTGAGE CREDITS: RISKS AND PROFITABILITY. Vestnik of the Plekhanov Russian University of Economics. 2016;(6):74-85. (In Russ.) https://doi.org/10.21686/2413-2829-2016-6-74-85
Views:
303
Email this article 