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Managing the risk of loan prepayments and the optimal structure of short term lending rates

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  • Bryan Stanhouse

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  • Duane Stock

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s10436-007-0075-1
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    Bibliographic Info

    Article provided by Springer in its journal Annals of Finance.

    Volume (Year): 4 (2008)
    Issue (Month): 2 (March)
    Pages: 197-215

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    Handle: RePEc:kap:annfin:v:4:y:2008:i:2:p:197-215

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    Web page: http://www.springerlink.com/link.asp?id=112370

    Related research

    Keywords: Loans; Prepayment; Interest rate risk; G21; Banks; Other depository institutions;

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    References

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    1. Yongheng Deng & John M. Quigley & Robert Van Order, . "Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options," Zell/Lurie Center Working Papers 322, Wharton School Samuel Zell and Robert Lurie Real Estate Center, University of Pennsylvania.
    2. King, Tao-Hsien Dolly, 2002. "An Empirical Examination of Call Option Values Implicit in U.S. Corporate Bonds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(04), pages 693-721, December.
    3. Baker, Malcolm & Greenwood, Robin & Wurgler, Jeffrey, 2003. "The maturity of debt issues and predictable variation in bond returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 70(2), pages 261-291, November.
    4. Shumway, Tyler, 2001. "Forecasting Bankruptcy More Accurately: A Simple Hazard Model," The Journal of Business, University of Chicago Press, vol. 74(1), pages 101-24, January.
    5. Erik Heitfield & Tarun Sabarwal, 2004. "What Drives Default and Prepayment on Subprime Auto Loans?," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 29(4), pages 457-477, December.
    6. Xu, Yexiao, 2004. "Small levels of predictability and large economic gains," Journal of Empirical Finance, Elsevier, Elsevier, vol. 11(2), pages 247-275, March.
    7. David B. Gross & Nicholas S. Souleles, 2001. "An Empirical Analysis of Personal Bankruptcy and Delinquency," NBER Working Papers 8409, National Bureau of Economic Research, Inc.
    8. Pennington-Cross, Anthony, 2003. "Credit History and the Performance of Prime and Nonprime Mortgages," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 27(3), pages 279-301, November.
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    Cited by:
    1. Roy Cerqueti, 2012. "Financing policies via stochastic control: a dynamic programming approach," Journal of Global Optimization, Springer, Springer, vol. 53(3), pages 539-561, July.

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