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Document type:
Zeitschriftenaufsatz 
Author(s):
Kolbe, A.; Zagst, R. 
Non-TUM Co-author(s):
nein 
Cooperation:
Title:
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 
Journal title:
International Journal of Theoretical and Applied Finance 
Year:
2008 
Journal volume:
11 
Journal issue:
Pages contribution:
635-656 
Language:
en 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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