Endogenous Mortgage Current Coupons
We consider the problem of identifying current coupons for agency-backed To-Be-Announced pools of residential mortgage loans. In a doubly stochastic model which allows for prepayment intensities to depend upon current and origination mortgage rates, as well as underlying investment factors, we ident...
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| Format: | Others |
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Research Showcase @ CMU
2016
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| Online Access: | http://repository.cmu.edu/dissertations/825 http://repository.cmu.edu/cgi/viewcontent.cgi?article=1864&context=dissertations |