Pricing default risk in mortgage-backed securities under a regime-switching reduced-form model

DOI10.1080/03610926.2019.1659971OpenAlexW2972515768MaRDI QIDQ5078511

Xiao-Song Qian, Jie Guo, Guo-jing Wang

Publication date: 23 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1659971

zbMATH Keywords

credit riskregime-switchingmortgage-backed security (MBS)

Mathematics Subject Classification ID

Cites Work

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• INTENSITY‐BASED VALUATION OF RESIDENTIAL MORTGAGES: AN ANALYTICALLY TRACTABLE MODEL
• The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier
• Valuation of mortgage-backed securities based on unobservable prepayment costs
• Credit risk: Modelling, valuation and hedging

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