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
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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.
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页码：1 / 9
页数：9
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