Digital library of construction informatics and information technology in civil engineering and construction
 
ITC
Digital library
SciX
Tower of Babel
Home All papers Browse by series Browse by authors Browse by keywords Browse by years
Paper: eres2001_195
Paper title: Pricing Mortgage-Backed Securities. A Model Describing the Heterogeneity of a Mortgage Pool
Authors: Kariya, Takeaki
Summary: Using a discrete time approach, this paper presents a no-arbitrage pricing formula for MBSs (mortgage-backed securities), and taking into the heterogeneity of a mortgage pool, proposes a specific model for MBS prices that describes the so-called burnout phenomenon of prepayments due to refinance, sale of houses for mortgage, and default. This is a generalized version of Kariya and Kobayashi (2000) in which only refinance is considered for prepayment. The heterogeneity of the mortgage pool is expressed by different response functions of mortgage borrowers to the changes of interest rates and the price changes of equities or houses. Numerical examples for pricing MBSs are demonstrated together with certain specifications of interest model and price model. An estimation procedure is provided based on a recursive least squares method. The discrete time no arbitrage theory is discussed in Appendix.
Type:
Year of publication: 2001
Series: ERES:conference
Download paper:
Citation: Kariya, Takeaki (2001). Pricing Mortgage-Backed Securities. A Model Describing the Heterogeneity of a Mortgage Pool. 8th European Real Estate Society Conference (26-29 June 2001) Alicante, Spain, http://itc.scix.net/paper/eres2001_195
hosted by University of Ljubljana University of Ljubljana

includes:

CIB
W78

ECCE

ITcon
© itc.scix.net
inspired by SciX, ported by Robert Klinc [2019]