PT  - JOURNAL ARTICLE
AU  - Lakhbir Hayre
AU  - Sudhir Chiluveru
TI  - Evaluation of Mortgage Credit Risk
AID  - 10.3905/jfi.2012.21.4.043
DP  - 2012 Mar 31
TA  - The Journal of Fixed Income
PG  - 43--54
VI  - 21
IP  - 4
4099  - https://pm-research.com/content/21/4/43.short
4100  - https://pm-research.com/content/21/4/43.full
AB  - 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