منابع مشابه
Rational Prepayment and the Valuation of Mortgage-Backed Securities
This article presents a new model of mortgage prepayments, based on rational decisions by mortgage holders. These mortgage holders face heterogeneous transaction costs, which are explicitly modeled. The model is estimated using a version of Hansen’s (1982) generalized method of moments, and shown to capture many of the empirical features of mortgage prepayment. Estimation results indicate that ...
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We study the optimal stopping problems embedded in a typical mortgage. Despite a possible non-rational behaviour of the typical borrower of a mortgage, the problem is worth to be solved for the lender to hedge against the prepayment risk, and because many mortgage-backed securities pricing model incorporate this suboptimality via a so-called prepayment function which can depend, at time t, on t...
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Financial reform legislation passed by Congress in 2010 requires mortgage originators to retain some loss exposure on the mortgages they securitize. Recent research compares the performance of mortgage-backed securities for different types of issues in which originators retain different degrees of loss exposure. The findings suggest that retention of even modest loss exposure by originators red...
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Mortgage-backed securities differ from corporate and government bonds in that their cash flows cannot be estimated with certainty, since homeowners often prepay their mortgages. Prepayments may include sale of the property, refinancing, curtailments, or liquidation of the property due to foreclosure. Standard fixed-income measurements, which allow investors to compare different types of bonds, ...
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ژورنال
عنوان ژورنال: Social Science Research Network
سال: 2022
ISSN: ['1556-5068']
DOI: https://doi.org/10.2139/ssrn.4030069