A prepayment model for the Japanese mortgage loan market: Prepayment-type-specific parametric model approach

DOI10.1023/A:1024185616174zbMath1059.91031OpenAlexW151396345MaRDI QIDQ1421701

Toru Sugimura

Publication date: 3 February 2004

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1024185616174

zbMATH Keywords

recurrent eventcompeting riskparametric proportional hazards modeltime(path)-dependent covariates

Mathematics Subject Classification ID

Related Items (4)

Modelling the non-linear effects on loan-level prepayment rates: evidence from adjustable-rate equity loans ⋮ Analyses of mortgage-backed securities based on unobservable prepayment cost processes ⋮ Valuation of residential mortgage-backed securities with default risk using an intensity-based approach ⋮ ON VALUATION WITH STOCHASTIC PROPORTIONAL HAZARD MODELS IN FINANCE

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