Showing 1 - 10 of 51
Persistent link: https://www.econbiz.de/10003025645
Persistent link: https://www.econbiz.de/10003025651
Persistent link: https://www.econbiz.de/10003025687
This paper proposes a pricing formula for residential mortgage-backed securities (RMBS) with the proportional hazard model. First, we develop basic models of mortgage contracts with prepayment risk in the intensity-based framework. Next, assuming the proportional hazard model to describe...
Persistent link: https://www.econbiz.de/10012758174
Persistent link: https://www.econbiz.de/10003025575
Persistent link: https://www.econbiz.de/10003025592
Persistent link: https://www.econbiz.de/10003025612
Persistent link: https://www.econbiz.de/10003025673
Persistent link: https://www.econbiz.de/10003025705
Persistent link: https://www.econbiz.de/10003025713