Modelling the non-linear effects on loan-level prepayment rates: evidence from adjustable-rate equity loans

DOI10.1080/09720502.2009.10700630zbMath1171.91365OpenAlexW2333423500MaRDI QIDQ3182885

Hsien-Chueh Peter Yang, Chun-Te Liu

Publication date: 16 October 2009

Published in: Journal of Interdisciplinary Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/09720502.2009.10700630

zbMATH Keywords

curtailmentB-splinesadditive modelgeneralizedprepaymentadjustable-rate home equity loans

Mathematics Subject Classification ID

Matching models (91B68)

Uses Software

• SAS

Cites Work

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• A practical guide to splines
• A prepayment model for the Japanese mortgage loan market: Prepayment-type-specific parametric model approach
• Smoothing by spline functions.
• Nonparametric Estimation of Relative Risk Using Splines and Cross-Validation

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