A generalized valuation model for fixed-rate residential mortgages.: An article from: Journal of Money, Credit & Banking
Book Details
PublisherOhio State University Press
ISBN / ASINB00091Y5J2
ISBN-13978B00091Y5J9
AvailabilityAvailable for download now
Sales Rank9,769,893
MarketplaceUnited States 🇺🇸
Description
This digital document is an article from Journal of Money, Credit & Banking, published by Ohio State University Press on August 1, 1992. The length of the article is 7653 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.
From the supplier: This paper uses option pricing techniques to rationally price mortgage instruments subject to both default and prepayment risk. Attention is given to terminations due to purely financial consideration of the mortgage itself, as well as to personally induced terminations. Explicit inclusion of default in the mortgage valuation procedure also permits the valuation of insurance against such default. Qualitatively, it is found that default differs significantly in behavior from either prepayment or nonfinancial termination. Quantitatively, however, there is significant substitution between prepayment and default, so that the addition of a default feature to the contract has only a modest impact on mortgage values, unless there is substantial price volatility in the housing market or a high loan-to-value ration. (Printed by permission of the publisher.)
Citation Details
Title: A generalized valuation model for fixed-rate residential mortgages.
Author: James B. Kau
Publication:Journal of Money, Credit & Banking (Refereed)
Date: August 1, 1992
Publisher: Ohio State University Press
Volume: v24 Issue: n3 Page: p279(21)
Distributed by Thomson Gale
From the supplier: This paper uses option pricing techniques to rationally price mortgage instruments subject to both default and prepayment risk. Attention is given to terminations due to purely financial consideration of the mortgage itself, as well as to personally induced terminations. Explicit inclusion of default in the mortgage valuation procedure also permits the valuation of insurance against such default. Qualitatively, it is found that default differs significantly in behavior from either prepayment or nonfinancial termination. Quantitatively, however, there is significant substitution between prepayment and default, so that the addition of a default feature to the contract has only a modest impact on mortgage values, unless there is substantial price volatility in the housing market or a high loan-to-value ration. (Printed by permission of the publisher.)
Citation Details
Title: A generalized valuation model for fixed-rate residential mortgages.
Author: James B. Kau
Publication:Journal of Money, Credit & Banking (Refereed)
Date: August 1, 1992
Publisher: Ohio State University Press
Volume: v24 Issue: n3 Page: p279(21)
Distributed by Thomson Gale
