Finansal piyasalarda tersine mortgage dayalı menkul kıymetleştirme

Year 2024, , 67 - 79, 31.03.2024

Nuray Yüzbaşıoğlu

https://doi.org/10.58308/bemarej.1382813

Abstract

Bu çalışmada ters ipotek sistemine menkul kıymetleştirme işlemi uygulandığında getiri elde edilip edilemeyeceği incelenmiştir. Çalışmada gelecekte ABD’deki ters mortgage faiz tahminlerini simüle edebilmek için 2012-2022 dönemi verileri “investing.com”, Moody's, Federal Reserve Bank (FED) ve Dünya Bankası veri tabanlarından elde edilmiştir. Araştırma Matlab paket programı kullanılarak Monte Carlo Simülasyon yöntemiyle reserve mortgage’a dayalı menkul kıymet varlık havuzunu etkileyen girdi değişkenlerinin farklı kombinasyonları simüle edilerek, gelecekte elde edilecek getiri, toplam faiz gideri, toplam dağıtılacak faiz tutarlarının minimum ve maksimum değerleri tahmin edilmiştir. Çalışmanın bulgularına göre reserve mortgage sistemine menkul kıymetleştirme uygulandığında getiri elde edildiği sonucuna varılmıştır. Ayrıca Monte Carlo Simülasyonu yönteminin reserve mortgage’a dayalı menkul kıymet varlık havuzu değerlendirilmesinde kullanışlı bir yöntem olduğu ve menkul kıymetleştirme işlemi sayesinde, reverse mortgage’nin uygulanmasında yer alan varlıkların likit hale dönüştürülmesinin ekonomiye önemli katkılar sağlayacağı düşünülmektedir.

Keywords

Tersine Mortgage dayalı menkul kıymetler, Varlık havuzu, Monte Carlo Simülasyonu, Faiz Gideri

Securitization based on reverse mortgage in financial markets

Abstract

This study examines whether returns can be obtained when the securitization process is applied to the reverse mortgage system. To simulate future interest rate forecasts for reverse mortgages in the United States, data for the period 2012-2022 was obtained from "investing.com," Moody's, the Federal Reserve Bank (FED), and the World Bank databases. Using the Matlab software package, various combinations of input variables affecting the asset pool of reverse mortgages were simulated using the Monte Carlo Simulation method. This allowed for the estimation of the minimum and maximum values of future returns, total interest expenses, and total interest amounts to be distributed. The findings of the study suggest that returns are obtained when securitization is applied to the reverse mortgage system. Additionally, the Monte Carlo Simulation method is deemed useful for evaluating the asset pool of reverse mortgages, and it is believed that securitization can significantly contribute to the economy by converting the assets involved in the implementation of reverse mortgages into liquid assets.

Keywords

Reserve Mortgage-Backed Securities, Pool of Assets, Monte Carlo Simülation, interest Exponse

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