Prepayment and the Valuation of Mortgage-Backed Securities
نویسندگان
چکیده
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 ...
متن کاملOptimal prepayment and default rules for mortgage-backed securities
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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Valuation of Mortgage-Backed Securities in a Distributed Environment Vladimir Surkov Master of Science Graduate Department of Computer Science University of Toronto 2004 Valuation of Mortgage-Backed Securities, regarded as integration in high dimensional space, can be readily performed using Monte Carlo method. The Quasi-Monte Carlo method, by utilizing low discrepancy sequences, has been able ...
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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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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: The Journal of Finance
سال: 1989
ISSN: 0022-1082
DOI: 10.1111/j.1540-6261.1989.tb05062.x