The Valuation of Mortgage Backed Securities with Stochastic Probabilities of Default and Prepayment
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References listed on IDEAS
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More about this item
KeywordsMortgage valuation; MBS prepayment; MBS default; MBS curtailment; Cox Process;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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