Pricing mortgage-backed securities (MBS): A model describing the burnout effect

被引：0
|
作者：
Kariya T. [1 ]
Kobayashi M. [2 ]
机构：
[1] Institute of Economic Research, Kyoto University, Sakyoku
[2] IBJ-DL Financial Technology Co., Ltd., Chiyoda-ku, Tokyo, 100-0004, Otemachi First Square, 5-1
来源：
Asia-Pacific Financial Markets | 2000年 / 7卷 / 2期
关键词：
Burnout effect; GNMA; Heterogeneity of mortgage pool; MBS; No-arbitrage value; Prepayment model;
D O I：
10.1023/A:1010030113709
中图分类号：
学科分类号：
摘要：
This paper presents a pricing formula for MBSs and proposes a specific model for MBS prices that describes the so-called burnout phenomenon of prepayments due to refinancing. A numerical example of the model is demonstrated by Monte Carlo simulation. An estimation procedure is also described. © 2000 Kluwer Academic Publishers.
引用
收藏
页码：189 / 204
页数：15
相关论文
共 50 条
12345