Optimal Strategy for Prepayment of Mortgages
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چکیده
منابع مشابه
Factors Affecting Mortgage Prepayment in Hong Kong
This paper presents a quantitative analysis of prepayment data based on the historical prepayment experience of two banks in Hong Kong. One of the most distinctive features of mortgages as an asset class is the existence of prepayment risk. Research in prepayment has matured into a coherent body of work that has a sound theoretical framework and consistent empirical validation. Previous researc...
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This article analyzes the dynamics of the commonly used indices for Adjustable Rate Mortgages, and systematically compares the effects of their time series properties on the interest rate sensitivity of adjustable rate mortgages. Our ARM valuation methodology allows us simultaneously to capture the effects of index dynamics, discrete coupon adjustment, mortgage prepayment, and both lifetime and...
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This article analyzes the dynamics of the commonly used indices for Adjustable Rate Mortgages, and systematically compares the eeects of their time series properties on the interest rate sensitivity of adjustable rate mortgages. Our ARM valuation methodology allows us simultaneously to capture the eeects of index dynamics, discrete coupon adjustment, mortgage prepayment, and both lifetime and p...
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Option theory which has dominated residential mortgage prepayment and default research implies that a borrower will exercise prepayment or default options if the call option or put option, respectively, is "in the money" by some optimal amount. Empirical research provides evidence that the financial value of the call option is strongly associated with exercise of the prepayment option, and the ...
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This paper proposes a novel approach for modeling prepayment rates of pools of mortgages. Our goal is to establish a model that will give a good prediction for prepayment rates for individual pools of mortgages. The model incorporates the empirical evidence that prepayment is past dependent via Bayesian methodology. There are many factors that influence the prepayment behavior and for many of t...
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