Benutzer: Gast  Login
Titel:

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

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Kolbe, A.; Zagst, R.
Nicht-TUM Koautoren:
nein
Kooperation:
-
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:
6
Seitenangaben Beitrag:
635-656
Sprache:
en
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
 BibTeX
Versionen