A prepayment model for the Japanese mortgage loan market: Prepayment-type-specific parametric model approach

DOI10.1023/A:1024185616174MaRDI QIDQ1421701zbMATH OpenOpenAlexFDO

Authors Toru Sugimura

Publication date 3 February 2004

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1024185616174

zbMATH Keywords

competing riskrecurrent eventparametric proportional hazards modeltime(path)-dependent covariates

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cited in

(6)

• Valuation of residential mortgage-backed securities with default risk using an intensity-based approach
• Analyses of mortgage-backed securities based on unobservable prepayment cost processes
• Bayesian forecasting of prepayment rates for individual pools of mortgages
• Modelling the non-linear effects on loan-level prepayment rates: evidence from adjustable-rate equity loans
• A Bayesian approach to modeling mortgage default and prepayment
• On valuation with stochastic proportional hazard models in finance

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