PREPAYMENT RISK AND THE DURATION OF DEFAULT-FREE MORTGAGE-BACKED SECURITIES

被引：0
|
作者：
ANDERSON, GA
BARBER, JR
CHANG, CH
机构：
来源：
JOURNAL OF FINANCIAL RESEARCH | 1993年 / 16卷 / 01期
关键词：
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The conventional duration measure for mortgage-backed pass-through securities assumes that the prepayment rate is invariant to changes in market interest rates. In this paper, the conventional duration is modified to take into account the interest-rate sensitivity of mortgage prepayments. Including interest rate sensitivity is shown to reduce substantially the duration of a mortgage-backed pass-through security when the current mortgage rate is less than the contract rate.
引用
收藏
页码：1 / 9
页数：9
相关论文
共 50 条
  • [1] Commercial Mortgage-Backed Securities: Prepayment and Default
    Brent W. Ambrose
    Anthony B. Sanders
    [J]. The Journal of Real Estate Finance and Economics, 2003, 26 : 179 - 196
  • [2] Commercial mortgage-backed securities: Prepayment and default
    Ambrose, BW
    Sanders, AB
    [J]. JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS, 2003, 26 (2-3): : 179 - 196
  • [3] Optimal prepayment and default rules for mortgage-backed securities
    de Rossi G.
    Vargiolu T.
    [J]. Decisions in Economics and Finance, 2010, 33 (1) : 23 - 47
  • [4] PREPAYMENT AND THE VALUATION OF MORTGAGE-BACKED SECURITIES
    SCHWARTZ, ES
    TOROUS, WN
    [J]. JOURNAL OF FINANCE, 1989, 44 (02): : 375 - 392
  • [5] Complexity and the default risk of mortgage-backed securities
    Billio, Monica
    Dufour, Alfonso
    Segato, Samuele
    Varotto, Simone
    [J]. JOURNAL OF BANKING & FINANCE, 2023, 155
  • [6] RATIONAL PREPAYMENT AND THE VALUATION OF MORTGAGE-BACKED SECURITIES
    STANTON, R
    [J]. REVIEW OF FINANCIAL STUDIES, 1995, 8 (03): : 677 - 708
  • [7] INDIFFERENCE VALUATION OF MORTGAGE-BACKED SECURITIES IN THE PRESENCE OF PREPAYMENT RISK
    Zhou, Ti
    [J]. MATHEMATICAL FINANCE, 2010, 20 (03) : 479 - 507
  • [8] COMPLETE PREPAYMENT MODELS FOR MORTGAGE-BACKED SECURITIES
    KANG, P
    ZENIOS, SA
    [J]. MANAGEMENT SCIENCE, 1992, 38 (11) : 1665 - 1685
  • [9] A PREPAYMENT-RISK-NEUTRAL PRICING MODEL FOR MORTGAGE-BACKED SECURITIES
    Ahn, Seryoong
    Song, Wan Young
    Yoon, Ji-Hun
    [J]. KOREAN JOURNAL OF MATHEMATICS, 2021, 29 (02): : 409 - 424
  • [10] Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities
    Chernov, Mikhail
    Dunn, Brett R.
    Longstaff, Francis A.
    [J]. REVIEW OF FINANCIAL STUDIES, 2018, 31 (03): : 1132 - 1183
12345