The Valuation of Mortgage Backed Securities with Stochastic Probabilities of Default and Prepayment

Francisco Venegas-Martínez and J. Víctor Reynoso Vendrell ()
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J. Víctor Reynoso Vendrell: HSBC

Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), 2007, vol. 1, issue 2, 148-168

Abstract: The aim of this paper is to provide a new approach to project the Mortgage Backed Securities (MBS) cash flows in emerging markets where collateral information is limited, wrong or scarce. Under this framework, we use the Cox Process to model stochastic probabilities of prepayment and default. The model deals with general intensity dynamics and it is applied to the starting MBS Mexican market

Keywords: Mortgage valuation; MBS prepayment; MBS default; MBS curtailment; Cox Process (search for similar items in EconPapers)
JEL-codes: G12 G13 G14 (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:ega:rafega:200711

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