A stochastic approach to prepayment modeling
| dc.contributor.advisor | Thompson, James R. | |
| dc.creator | Overley, Mark S. | |
| dc.date.accessioned | 2009-06-04T00:07:12Z | |
| dc.date.available | 2009-06-04T00:07:12Z | |
| dc.date.issued | 1996 | |
| 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. | en_US |
| dc.format.mimetype | application/pdf | |
| dc.identifier.callno | THESIS STAT. 1996 OVERLEY | |
| dc.identifier.citation | Overley, Mark S.. "A stochastic approach to prepayment modeling." (1996) Diss., Rice University. <a href="https://hdl.handle.net/1911/17009">https://hdl.handle.net/1911/17009</a>. | |
| dc.identifier.uri | https://hdl.handle.net/1911/17009 | |
| dc.language.iso | eng | |
| dc.rights | Copyright is held by the author, unless otherwise indicated. Permission to reuse, publish, or reproduce the work beyond the bounds of fair use or other exemptions to copyright law must be obtained from the copyright holder. | |
| dc.subject | Statistics | |
| dc.subject | Economics | |
| dc.subject | Finance | |
| dc.title | A stochastic approach to prepayment modeling | |
| dc.type | 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 |
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