Pricing default risk in mortgage-backed securities under a regime-switching reduced-form model
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Publication:5078511
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
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Cites Work
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- Ruin Theory in a Hidden Markov-Modulated Risk Model
- 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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