The market for auction rate securities (ARS) made headlines during the second week of
February 2008 when auctions at which the bonds' interest rates reset experienced a wave of …

Over the past two decades, research into the economic reasons why borrowers prepay their
mortgage loans has matured into a coherent body of work that has a sound theoretical …

This study develops a model for the valuation of Collateralized Mortgage Obligations
(CMOs). The model is based on a two-factor model of the term structure of interest rates and …

This article analyzes adjustable rate mortgages (ARMs) based on the Eleventh District Cost
of Funds Index (EDCOFI). The behavior of EDCOFI was examined over the period 1981 …

This paper is an investigation of Australian mortgage-loan prepayment from a modelling
perspective. A prepayment model for loans of mortgage-backed securities is developed …

Over the past 31 years, The Journal of Fixed Income has published articles that were
primers about the structure and risk characteristics for the growing number of complex …

This paper aims to evaluate an inference of bank internal PDs (Default Probabilities) on
subsequent prepayments of variable rate institutional loans. Since variable rate loans hardly …

This paper evaluates the interest-rate risk inherent in an adjustable-rate mortgage (ARM)
with sporadic rate adjustments and possibly binding periodic and life-of-loan rate change …

We consider the problem of pricing fixed-rate mortgage-backed securities (abbreviated:
MBS). In particular, we develop a model that tracks the price of MBS across time, but also …

A study on the prepayment behavior of Hong Kong mortgage loans is conducted. With all of
the loans as adjustable-rate mortgages (ARMs), we nd that 1) Prepayment speeds up and …