Economics, Econometrics and Finance
8 years ago

New Model Revolutionizes Pricing of Housing Mortgage-Backed Securities

Journal of Tianjin Normal University
Application of Competing Risk Model in Housing Mortgage-Backed Securities Pricing
HU Tian-tong

Paper Summary

Competing risk models are used to price housing mortgage-backed securities by measuring prepayment and default risks. Investors face these risks, and accurately measuring them helps price these securities accurately.

Related papers

Economics, Econometrics and Finance
8 years ago

Yield curve changes directly impact commercial mortgage-backed securities termination rates.

Credit Expansion
Insurance Dynamics
Credit Risk
Economics, Econometrics and Finance
4 years ago

House prices significantly impact mortgage valuation, changing investment landscape.

Credit Expansion
Retirement Planning
Banking Finance
Economics, Econometrics and Finance
8 years ago

New model predicts mortgage prepayment behavior, revolutionizing securities pricing.

Credit Expansion
Retirement Planning
Option Pricing