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Title:

A Hybrid-Form Model for the Prepayment-Risk-Neutral Valuation of Mortgage-Backed Securities

Document type:
Zeitschriftenaufsatz
Author(s):
Kolbe, A.; Zagst, R.
Non-TUM Co-author(s):
nein
Cooperation:
-
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:
6
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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