Francisco Venegas-Martínez (Instituto Politécnico Nacional) J. Víctor Reynoso-Vendrell () (Risk Management HSBC-México)
Abstract
The aim of this paper is to provide a new approach to project the Mortgage Backed Securities (MBS) cash flows in emerging markets where collateral information is limited, wrong or scarce. Under this framework, we use the Cox Process to model stochastic probabilities of prepayment and default. The model deals with general intensity dynamics and is applied to the starting MBS Mexican market.
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