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Prepayment analysis for securitization

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  • De Toldi, M.
  • Gourieroux, C.
  • Monfort, A.

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  • De Toldi, M. & Gourieroux, C. & Monfort, A., 1995. "Prepayment analysis for securitization," Journal of Empirical Finance, Elsevier, vol. 2(1), pages 45-70, March.
    • Handle: RePEc:eee:empfin:v:2:y:1995:i:1:p:45-70
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    References listed on IDEAS

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    1. Ghysels, Eric, 1994. "On the Periodic Structure of the Business Cycle," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 289-298, July.
    2. Hun Y. Park & Anil K. Bera, 1987. "Interest‐Rate Volatility, Basis Risk and Heteroscedasticity in Hedging Mortgages," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 15(2), pages 79-97, June.
    3. Ghysels, E., 1991. "Are Business Cycle Turning Points Uniformly Distributed Throughout the Year?," Cahiers de recherche 9135, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    4. Andrew Chesher & Tony Lancaster, 1983. "The Estimation of Models of Labour Market Behaviour," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 50(4), pages 609-624.
    5. Sean Becketti & Charles S. Morris, 1990. "The prepayment experience of FNMA mortgage-backed securities," Research Working Paper 90-01, Federal Reserve Bank of Kansas City.
    6. Trivedi, P K & Alexander, J N, 1989. "Reemployment Probability and Multiple Unemployment Spells: A Partial-Likelihood Approach," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(3), pages 395-401, July.
    7. Nickell, Stephen J, 1979. "Estimating the Probability of Leaving Unemployment," Econometrica, Econometric Society, vol. 47(5), pages 1249-1266, September.
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    Cited by:

    1. Kim Changki, 2005. "Surrender Rate Impacts on Asset Liability Management," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 1(1), pages 1-36, June.
    2. Adlane Haffar & Éric Le Fur & Mohamed Khordj, 2023. "Securitization of pandemic risk by using coronabond," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(2), pages 209-229, June.

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