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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Kolbe, A.; Zagst, R. 
Nicht-TUM Koautoren:
nein 
Kooperation:
Titel:
A Hybrid-Form Model for the Prepayment-Risk-Neutral Valuation of Mortgage-Backed Securities 
Abstract:
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 modelling and extends existing models for individual mortgage contracts in a proportional hazard framework. The general economic environment is explicitly accounted for in the prepayment process by an additional factor which we fit to the quarterly GDP growth rate in the US. In our risk-neutral setting we account for both the...    »
 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
International Journal of Theoretical and Applied Finance 
Jahr:
2008 
Band / Volume:
11 
Heft / Issue:
Seitenangaben Beitrag:
635-656 
Sprache:
en 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein