TY - JOUR T1 - Evaluation of Mortgage Credit Risk JF - The Journal of Fixed Income SP - 43 LP - 54 DO - 10.3905/jfi.2012.21.4.043 VL - 21 IS - 4 AU - Lakhbir Hayre AU - Sudhir Chiluveru Y1 - 2012/03/31 UR - https://pm-research.com/content/21/4/43.abstract N2 - This article describes a stochastic home price appreciation (HPA) model that can be used to obtain random paths of simulated home prices that are consistent with historical behavior and with market-implied HPA. The stochastic HPA model has been integrated with Citi’s prepayment, default, term structure, and MOATS models and can be used to calculate credit-adjusted option-adjusted spread (OAS) for non-agency mortgage-backed securities and loans. The credit-adjusted OAS model is available to users via the Yield Book.TOPICS: MBS and residential mortgage loans, credit risk management, factor-based models ER -