Analyses of mortgage-backed securities based on unobservable prepayment cost processes

DOI10.1007/S10690-005-9002-5zbMath1147.91343OpenAlexW2088098264MaRDI QIDQ853854

Hidetoshi Nakagawa, Tomoaki Shouda

Publication date: 17 November 2006

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

Full work available at URL: https://doi.org/10.1007/s10690-005-9002-5

zbMATH Keywords

asymptotic arbitrage-free conditionloan pool riskmortgage-backed securities (MBS)prepayment coststructural approach with incomplete information

Mathematics Subject Classification ID

Cites Work

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• DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
• Valuation of mortgage-backed securities based on unobservable prepayment costs
• Credit risk: Modelling, valuation and hedging

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