Credit Risk and Prepayment Option
نویسندگان
چکیده
منابع مشابه
Enhancing Mortgage Credit Availability among Underserved and Higher Credit-risk Populations: an Assessment of Default and Prepayment Option Exercise among Fha-insured Borrowers
The extension of mortgage credit to underserved, minority, and higher credit-risk populations has been a topic of discussion among researchers and policymakers in recent years, as both the Clinton and Bush administrations have articulated policies that have sought to advance the homeownership opportunities of underserved and minority groups. Research accordingly has sought to identify the deter...
متن کاملthe study of practical and theoretical foundation of credit risk and its coverage
پس از بررسی هر کدام از فاکتورهای نوع صنعت, نوع ضمانت نامه, نرخ بهره , نرخ تورم, ریسک اعتباری کشورها, کارمزد, ریکاوری, gdp, پوشش و وثیقه بر ریسک اعتباری صندوق ضمانت صادرات ایران مشخص گردید که همه فاکتورها به استثنای ریسک اعتباری کشورها و کارمزد بقیه فاکتورها رابطه معناداری با ریسک اعتباری دارند در ضمن نرخ بهره , نرخ تورم, ریکاوری, و نوع صنعت و ریسک کشورها اثر عکس روی ریسک اعتباری داردو پوشش, وثی...
15 صفحه اولPrepayment Risk- and Option-Adjusted Valuation of MBS opportunities for arbitrai^e
SUMMKR 2005 O ption-adjusted spread (OAS), while a much better measure than yield or static spread, still tails short in explaining the dynamics of mortgage pricing. The standard OAS typically varies across instruments {pass-throughs, collateralized mortgage obligations, interest-only securities, principal-only securities), coupons, prepayment option moneyness, and pool seasoning stages. Premiu...
متن کاملCapital requirements, the option surface, market, credit and liquidity risk
The Sato process model for option prices is expanded to accomodate credit considerations by incorporating a single jump to default occuring at an independent random time with a Weibull distribution. Explicit formulas, in this context, for the bid and ask prices of two price economies that price residual risks to levels of risk acceptability are then derived. Liquidity considerations are thereby...
متن کاملValuation Of The Prepayment Option In The Banking Book
One of the most important perspectives of interest rate risk in the banking book (IRRBB) is the valuation of socalled embedded options and the quantification of their impact on the value of bank portfolios. One unequivocal characteristic of mortgage portfolios is the option of prepayment, providing the borrower the possibility of redeeming their debt before maturity. We have created a theoretic...
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ژورنال
عنوان ژورنال: ASTIN Bulletin
سال: 1992
ISSN: 0515-0361,1783-1350
DOI: 10.2143/ast.22.1.2005128