RT Journal Article
SR Electronic
T1 Evaluation of Mortgage Credit Risk
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 43
OP 54
DO 10.3905/jfi.2012.21.4.043
VO 21
IS 4
A1 Lakhbir Hayre
A1 Sudhir Chiluveru
YR 2012
UL https://pm-research.com/content/21/4/43.abstract
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