RT Journal Article SR Electronic T1 Modeling the Instability of Mortgage-Backed Prepayments JF The Journal of Fixed Income FD Institutional Investor Journals SP 33 OP 41 DO 10.3905/jfi.2003.319358 VO 13 IS 3 A1 Stavros Peristiani YR 2003 UL https://pm-research.com/content/13/3/33.abstract AB Prepayment plays a critical role in the valuation and performance of mortgage-backed securities. For this reason, market participants have devoted substantial resources to developing formal mathematical models of mortgage prepayment. The author demonstrates that the prepayment function is non-linear and heteroscedastic; prepayments are increasingly more volatile at higher interest rate spreads. The analysis suggests that these unusual properties of pool prepayments are the result of statistical aggregation.