Asset securitization is an important way to improve bank asset liability structure, and can offer investors financial tools with high yields. Owing to the rapid and stable development of the financial market, the large-scale asset securitization age is on the way. To establish a complete and reasonable mortgage-backed securitization structuring model, this paper firstly introduced a method to estimate the repayment default rate based on distributional robust optimization. Then it improved a credit rating system by containing an option on the mortgage market value. Finally it proposed to use the dynamic programming model to structure the mortgage-backed securities. It is supposed to make a contribution to the financial innovation in China and put forward fresh ideals.