Valuation of mortgage products with stochastic prepayment-intensity models
A Kolbe - 2008 - mediatum.ub.tum.de
The prepayment option inherent in standard US mortgage loans makes the valuation of
mortgages and of mortgage-backed securities (MBS) a unique and mathematically …
mortgages and of mortgage-backed securities (MBS) a unique and mathematically …
个人住房抵押贷款提前偿付率实证研究——基于建元 2005 资产证券化产品资产池的模型
魏成龙， 王述评 - 经济管理, 2011 - cqvip.com
随着中国个人住房抵押贷款业务的不断发展, 个人住房抵押贷款余额的逐渐扩大,
住房抵押贷款提前偿付风险已经成为中国商业银行面临的一项重要的利率风险 …
住房抵押贷款提前偿付风险已经成为中国商业银行面临的一项重要的利率风险 …
中国个人住房抵押贷款支持证券提前偿付率实证研究
孔凝， 吴文锋 - 上海金融, 2013 - cqvip.com
本文基于2006 年1 月一2013 年8 月“建元2005—1” 各期受托机构报告计算得到的提前还款率.
实证比较了比例风险模型, 美国储蓄管理局模型和Davis (2004) 模型后发现, Davis (2004) …
实证比较了比例风险模型, 美国储蓄管理局模型和Davis (2004) 模型后发现, Davis (2004) …
[PDF][PDF] The Impact of COVID-19 on Chinese Consumer Finance ABS Market
L Hua - 2020 - access.archive-ouverte.unige.ch
At the end of 2019, a novel coronavirus (named the COVID-19 pandemic or called COVID-
19 for short) has spread worldwide rapidly. The negative impact of the epidemic on China's …
19 for short) has spread worldwide rapidly. The negative impact of the epidemic on China's …
Efficient valuation of prepayment and default risky securities
S Slavinsky, EH Neave - Journal of Applied Finance (Formerly …, 2011 - papers.ssrn.com
In this article, we will combine an econometric binary response model suitable for
representing discrete time default and prepayment conditional probabilities with a valuation …
representing discrete time default and prepayment conditional probabilities with a valuation …
[PDF][PDF] Pricing of adjustable rate mortgage subject to prepayment and default risk
JI Tong - 2007 - getd.libs.uga.edu
In this paper, a reduced-form approach is adopted to price Adjustable Rate Mortgages
subject to prepayment and default. The reduced-form approach to valuation facilitates the …
subject to prepayment and default. The reduced-form approach to valuation facilitates the …