Bayesian forecasting of prepayment rates for individual pools of mortgages

DOI10.1214/08-BA315zbMath1330.62345MaRDI QIDQ2634523

Ivilina Popova, Elmira Popova, Edward I. George

Publication date: 16 February 2016

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ba/1340370553

zbMATH Keywords

Bayesian forecastingmortgagesMBS pricingprepayment rates

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items (5)

Analyses of mortgage-backed securities based on unobservable prepayment cost processes ⋮ Assessment of mortgage default risk via Bayesian state space models ⋮ BEHAVIORAL VALUE ADJUSTMENTS ⋮ A Bayesian approach to modeling mortgage default and prepayment ⋮ Assessment of mortgage default risk via Bayesian reliability models

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