New tools for modeling prepayment of principal by obligors behind asset-backed securities
are provided. The obligors are categorized into groups for ordered removal from the …

We introduce a new approach for modeling the prepayments of a mortgage pool and show
how it can be used to value mortgage pools and agency mortgage-backed securities. We …

In this paper, we provide an overview of the credit model approaches for lifetime impairment
models. The main focus is on the models for credit risk term-structures, which are a …

Mortgage-backed securities (MBS) are among the most complex of all financial instruments.
Analysis of MBS requires blending empirical analysis of borrower behavior with the …

Option-adjusted spread (OAS), while a much better measure than yield or static spread, still
falls short in explaining the dynamics of mortgage pricing. The standard OAS typically varies …

In this paper we present a prepayment-risk-neutral valuation model for fixed-rate Mortgage-
Backed Securities. Our model is based on intensity models as used in credit-risk modeling …

We present a utility‐based methodology for the valuation and the risk management of
mortgage‐backed securities subject to totally unpredictable prepayment risk …

Banking books contain numerous implicit options such as prepayment options on
mortgages, borrowing options, early withdrawal options etc. As these options may be …

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 …

Funds transfer pricing of the banks banking book products is the core mechanism for banks
to distribute incentives for pricing the risks bank products carry as well as measure ex-ante …