An applied approach to valuation of securitized balance sheet assets based on Monte Carlo simulation with special reference to Turkish finance sector

Abstract

In this study, the Monte Carlo Simulation method is used in mortgage-backed security asset pool calculations. By simulating different combinations of input variables affecting the mortgage-backed securities asset pool, the future earnings, the total amount of interest, and the minimum and maximum values of the amount of total interest to be distributed are estimated. Six different scenarios were used in the assessment of the asset pool.