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

Author

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  • Bryan Stanhouse

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  • Duane Stock

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Abstract

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Suggested Citation

  • Bryan Stanhouse & Duane Stock, 2008. "Managing the risk of loan prepayments and the optimal structure of short term lending rates," Annals of Finance, Springer, vol. 4(2), pages 197-215, March.
  • Handle: RePEc:kap:annfin:v:4:y:2008:i:2:p:197-215 DOI: 10.1007/s10436-007-0075-1
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    File URL: http://hdl.handle.net/10.1007/s10436-007-0075-1
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    References listed on IDEAS

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    1. David B. Gross & Nicholas S. Souleles, 1999. "An Empirical Analysis of Personal Bankruptcy and Delinquency," Center for Financial Institutions Working Papers 98-28, Wharton School Center for Financial Institutions, University of Pennsylvania.
    2. Baker, Malcolm & Greenwood, Robin & Wurgler, Jeffrey, 2003. "The maturity of debt issues and predictable variation in bond returns," Journal of Financial Economics, Elsevier, vol. 70(2), pages 261-291, November.
    3. Xu, Yexiao, 2004. "Small levels of predictability and large economic gains," Journal of Empirical Finance, Elsevier, pages 247-275.
    4. Erik Heitfield & Tarun Sabarwal, 2004. "What Drives Default and Prepayment on Subprime Auto Loans?," The Journal of Real Estate Finance and Economics, Springer, vol. 29(4), pages 457-477, December.
    5. Yongheng Deng & John M. Quigley & Robert Van Order, 2000. "Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options," Econometrica, Econometric Society, pages 275-308.
    6. 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.
    7. David B. Gross, 2002. "An Empirical Analysis of Personal Bankruptcy and Delinquency," Review of Financial Studies, Society for Financial Studies, vol. 15(1), pages 319-347, March.
    8. Pennington-Cross, Anthony, 2003. "Credit History and the Performance of Prime and Nonprime Mortgages," The Journal of Real Estate Finance and Economics, Springer, vol. 27(3), pages 279-301, November.
    9. Shumway, Tyler, 2001. "Forecasting Bankruptcy More Accurately: A Simple Hazard Model," The Journal of Business, University of Chicago Press, vol. 74(1), pages 101-124, January.
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    Cited by:

    1. Roy Cerqueti, 2012. "Financing policies via stochastic control: a dynamic programming approach," Journal of Global Optimization, Springer, vol. 53(3), pages 539-561, July.

    More about this item

    Keywords

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

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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