Show simple item record

dc.contributor.advisor Thompson, James R.
dc.creatorOverley, Mark S.
dc.date.accessioned 2009-06-04T00:07:12Z
dc.date.available 2009-06-04T00:07:12Z
dc.date.issued 1996
dc.identifier.urihttps://hdl.handle.net/1911/17009
dc.description.abstract A new type of prepayment model for use in the valuation of mortgage-backed securities is presented. The model is based on a simple axiomatic characterization of the prepayment decision by the individual in terms of a continuous time, discrete state stochastic process. One advantage of the stochastic approach compared to a traditional regression model is that information on the variability of prepayments is retained. This information is shown to have a significant effect on the value of mortgage-backed derivative securities. Furthermore, the model explains important path dependent properties of prepayments such as seasoning and burnout in a natural way, which improves fit accuracy for mean prepayment rates. This is demonstrated by comparing the stochastic mean to a nonlinear regression model based on time and mortgage rate information for generic Ginnie Mae collateral.
dc.format.extent 146 p.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.subjectStatistics
Economics
Finance
dc.title A stochastic approach to prepayment modeling
dc.type.genre Thesis
dc.type.material Text
thesis.degree.department Statistics
thesis.degree.discipline Engineering
thesis.degree.grantor Rice University
thesis.degree.level Doctoral
thesis.degree.name Doctor of Philosophy
dc.identifier.citation Overley, Mark S.. "A stochastic approach to prepayment modeling." (1996) Diss., Rice University. https://hdl.handle.net/1911/17009.


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record