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Citations for " Prepayment and the Valuation of Mortgage-Backed Securities"

by Schwartz, Eduardo S & Torous, Walter N

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  1. Archer, Wayne R. & Ling, David C. & McGill, Gary A., 1996. "The effect of income and collateral constraints on residential mortgage terminations," Regional Science and Urban Economics, Elsevier, vol. 26(3-4), pages 235-261, June.
  2. Piyush Tiwari, 2001. "Economics of Mortgage Termination in India," ERES eres2001_287, European Real Estate Society (ERES).
  3. Mayer, Chris & Piskorski, Tomasz & Tchistyi, Alexei, 2013. "The inefficiency of refinancing: Why prepayment penalties are good for risky borrowers," Journal of Financial Economics, Elsevier, vol. 107(3), pages 694-714.
  4. Olivier Vigneron, & Xavier Gabaix & Arvind Krishnamurthy, 2004. "Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market," Econometric Society 2004 North American Summer Meetings 430, Econometric Society.
  5. John Campbell & Joao F. Cocco, 2002. "Household Risk Management and Optimal Mortgage Choice," Computing in Economics and Finance 2002 47, Society for Computational Economics.
  6. Christopher J. Mayer & Tomasz Piskorski & Alexei Tchistyi, 2010. "The Inefficiency of Refinancing: Why Prepayment Penalties Are Good for Risky Borrowers," NBER Working Papers 16586, National Bureau of Economic Research, Inc.
  7. Szu-Lang Liao & Ming-Shann Tsai & Shu-Ling Chiang, 2008. "Closed-Form Mortgage Valuation Using Reduced-Form Model," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 36(2), pages 313-347, 06.
  8. Nicholas Sharp & David Newton & Peter Duck, 2008. "An Improved Fixed-Rate Mortgage Valuation Methodology with Interacting Prepayment and Default Options," The Journal of Real Estate Finance and Economics, Springer, vol. 36(3), pages 307-342, April.
  9. Ram Bhar & Carl Chiarella, 1995. "Estimating the Term Structure of Volatility in Futures Yield - A Maximum Likelihood Approach," Working Paper Series 56, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  10. Chang, Chia-Chien, 2014. "Valuation of Mortgage Insurance Contracts with Counterparty Default Risk: Reduced-Form Approach," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 44(02), pages 303-334, May.
  11. Rumyantseva, Ekaterina & Furmanov, Kirill, 2016. "Modeling mortgage survival," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 41, pages 123-143.
  12. Aytek Malkhozov & Philippe Mueller & Andrea Vedolin & Gyuri Venter, 2013. "Mortgage Hedging in Fixed Income Markets," FMG Discussion Papers dp722, Financial Markets Group.
  13. Deng, Yongheng & Quigley, John M. & Van Order, Robert & Mac, Freddie, 1996. "Mortgage default and low downpayment loans: The costs of public subsidy," Regional Science and Urban Economics, Elsevier, vol. 26(3-4), pages 263-285, June.
  14. Koijen, Ralph S.J. & Hemert, Otto Van & Nieuwerburgh, Stijn Van, 2009. "Mortgage timing," Journal of Financial Economics, Elsevier, vol. 93(2), pages 292-324, August.
  15. Xudong An & John Clapp & Yongheng Deng, 2005. "Omitted Mobility Characteristics and Property Market Dynamics: Application to Mortgage Termination," Working Paper 8584, USC Lusk Center for Real Estate.
  16. Mikhail Chernov & Brett R. Dunn & Francis A. Longstaff, 2016. "Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities," NBER Working Papers 22096, National Bureau of Economic Research, Inc.
  17. Ana Manola & Branko Uroševic, 2010. "Option-Based Valuation Of Mortgage-Backed Securities," Economic Annals, Faculty of Economics, University of Belgrade, vol. 55(186), pages 42–66, July – Se.
  18. Gerardi, Kristopher S. & Herkenhoff, Kyle F. & Ohanian, Lee E. & Willen, Paul S., 2015. "Can't pay or won't pay?: unemployment, negative equity, and strategic default," Working Papers 15-13, Federal Reserve Bank of Boston.
  19. Eduardo S. Schwartz & Walter N. Torous, 1991. "Caps on Adjustable Rate Mortgages: Valuation, Insurance, and Hedging," NBER Chapters, in: Financial Markets and Financial Crises, pages 283-304 National Bureau of Economic Research, Inc.
  20. Huizinga, Harry & Laeven, Luc, 2009. "Accounting discretion of banks during a financial crisis," CEPR Discussion Papers 7381, C.E.P.R. Discussion Papers.
  21. Green, Richard K. & LaCour-Little, Michael, 1999. "Some Truths about Ostriches: Who Doesn't Prepay Their Mortgages and Why They Don't," Journal of Housing Economics, Elsevier, vol. 8(3), pages 233-248, September.
  22. Sharpe, Steve & Sherlund, Shane M., 2015. "Crowding Out Effects of Refinancing on New Purchase Mortgages," Finance and Economics Discussion Series 2015-17, Board of Governors of the Federal Reserve System (U.S.).
  23. Nicholas Sharp & Paul Johnson & David Newton & Peter Duck, 2009. "A New Prepayment Model (with Default): An Occupation-time Derivative Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 39(2), pages 118-145, August.
  24. James B. Kau & Thomas M. Springer, 1993. "An Analysis of Financial and Nonfinancial Prepayment of GNMA Securities with a Varying Coefficient Model," Journal of Real Estate Research, American Real Estate Society, vol. 8(1), pages 69-86.
  25. Kishimoto, Naoki & Kim, Yong-Jin, 2014. "Prepayment behaviors of Japanese residential mortgages," Japan and the World Economy, Elsevier, vol. 30(C), pages 1-9.
  26. Jean-David Fermanian, 2013. "A Top-Down Approach for Asset-Backed Securities: A Consistent Way of Managing Prepayment, Default and Interest Rate Risks," The Journal of Real Estate Finance and Economics, Springer, vol. 46(3), pages 480-515, April.
  27. Merino Maestre, María & Pérez Sainz de Rozas, Gloria & Escudero Bueno, Laureano F. & Garín Martín, María Araceli, 2005. "A two-stage stochastic integer programming approach," BILTOKI 2005-01, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  28. Fuster, Andreas & Vickery, James, 2013. "Securitization and the fixed-rate mortgage," Staff Reports 594, Federal Reserve Bank of New York, revised 01 Jun 2014.
  29. Yongheng Deng & Peng Liu, 2009. "Mortgage Prepayment and Default Behavior with Embedded Forward Contract Risks in China’s Housing Market," The Journal of Real Estate Finance and Economics, Springer, vol. 38(3), pages 214-240, April.
  30. Andreas Fuster & Paul S. Willen, 2013. "Payment Size, Negative Equity, and Mortgage Default," NBER Working Papers 19345, National Bureau of Economic Research, Inc.
  31. David Harrison & Michael Seiler, 2015. "The Paradox of Judicial Foreclosure: Collateral Value Uncertainty and Mortgage Rates," The Journal of Real Estate Finance and Economics, Springer, vol. 50(3), pages 377-411, April.
  32. Arthur Korteweg & Morten Sorensen, 2012. "Estimating Loan-to-Value and Foreclosure Behavior," NBER Working Papers 17882, National Bureau of Economic Research, Inc.
  33. Longstaff, Francis A., 2002. "Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities," University of California at Los Angeles, Anderson Graduate School of Management qt19k7479t, Anderson Graduate School of Management, UCLA.
  34. Eickholt, Mathias & Entrop, Oliver & Wilkens, Marco, 2014. "Individual investors and suboptimal early exercises in the fixed-income market," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe 14, University of Passau, Faculty of Business and Economics.
  35. Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
  36. Abraham, Jesse M. & Theobald, H. Scott, 1997. "A Simple Prepayment Model of Commercial Mortgages," Journal of Housing Economics, Elsevier, vol. 6(1), pages 31-59, March.
  37. Michael LaCour-Little & Gregory H. Chun, 1999. "Third Party Originators and Mortgage Prepayment Risk: An Agency Problem?," Journal of Real Estate Research, American Real Estate Society, vol. 17(1), pages 55-70.
  38. Kourosh Rasmussen & Claus Madsen & Rolf Poulsen, 2014. "Can home-owners benefit from stochastic programming models? A study of mortgage choice in Denmark," Computational Management Science, Springer, vol. 11(1), pages 5-23, January.
  39. Khandani, Amir E. & Lo, Andrew W. & Merton, Robert C., 2013. "Systemic risk and the refinancing ratchet effect," Journal of Financial Economics, Elsevier, vol. 108(1), pages 29-45.
  40. Scott Robertson & Zhe Cheng, 2015. "Endogenous Current Coupons," Papers 1510.02010, arXiv.org.
  41. Eickholt, Mathias & Entrop, Oliver & Wilkens, Marco, 2014. "What makes individual investors exercise early? Empirical evidence from the fixed-income market," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe 15, University of Passau, Faculty of Business and Economics.
  42. Stephen F. Thode & Richard J. Kish, 1994. "The Zero-Coupon/Interest-Only Fixed-Rate Mortgage: An Alternative for Funding Low-to-Moderate Income Housing," Journal of Real Estate Research, American Real Estate Society, vol. 9(2), pages 263-276.
  43. Jun Chen & Yongheng Deng, 2003. "Commercial Mortgage Workout Strategy and Conditional Default Probability: Evidence from Special Serviced CMBS Loans," Working Paper 8614, USC Lusk Center for Real Estate.
  44. Andrey Pavlov & George Blazenko, 2005. "The Neighborhood Effect of Real Estate Maintenance," The Journal of Real Estate Finance and Economics, Springer, vol. 30(4), pages 327-340, June.
  45. Hancock, Diana & Passmore, Wayne, 2016. "Cost of funds indexed mortgage contracts with government-backed catastrophic insurance (COFI-Cats): A realistic alternative to the 30-year fixed-rate mortgage?," Journal of Economics and Business, Elsevier, vol. 84(C), pages 109-130.
  46. Francis A. Longstaff, 2004. "Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities," NBER Working Papers 10422, National Bureau of Economic Research, Inc.
  47. Sam R. Hakim, 1997. "Autonomous and Financial Mortgage Prepayment," Journal of Real Estate Research, American Real Estate Society, vol. 13(1), pages 1-16.
  48. Chiang, Shu Ling & Yang, Tyler T. & Tsai, Ming Shann, 2016. "Assessing mortgage servicing rights using a reduced-form model: Considering the effects of interest rate risks, prepayment and default risks, and random state variables," Journal of Housing Economics, Elsevier, vol. 32(C), pages 29-46.
  49. Svenstrup, Mikkel, 2003. "Valuation of Path-Dependent Interest Rate Derivatives in a Finite Difference Setup," Finance Working Papers 02-21, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  50. Chris Downing & Richard Stanton & Nancy Wallace, 2003. "An empirical test of a two-factor mortgage valuation model: how much do house prices matter?," Finance and Economics Discussion Series 2003-42, Board of Governors of the Federal Reserve System (U.S.).
  51. Michael LaCour-Little & Michael Marschoun & Clark L. Maxam, 2002. "Improving Parametric Mortgage Prepayment Models with Non-parametric Kernel Regression," Journal of Real Estate Research, American Real Estate Society, vol. 24(3), pages 299-328.
  52. Jonathan B. Berk & Ian Tonks, 2007. "Return Persistence and Fund Flows in the Worst Performing Mutual Funds," NBER Working Papers 13042, National Bureau of Economic Research, Inc.
  53. John M. Clapp & Yongheng Deng & Xudong An, 2006. "Unobserved Heterogeneity in Models of Competing Mortgage Termination Risks," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 34(2), pages 243-273, 06.
  54. Carlos R. Madeira & Víctor Pérez F., 2013. "Gestión Hipotecaria de las Familias Chilenas," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 16(2), pages 122-133, August.
  55. Souphala Chomsisengphet & Anthony Pennington-Cross, 2006. "Subprime refinancing: equity extraction and mortgage termination," Working Papers 2006-023, Federal Reserve Bank of St. Louis.
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