Création d’actifs financiers et remboursements anticipés

Christian Gourieroux

L'Actualité Economique, 1994, vol. 70, issue 3, 227-245

Abstract: We discuss the econometric features of securitization: descriptive or structural analysis of prepayment behaviours, consequences on the pricing of mortgage backed securities. We insist on the distinction between disaggregated approaches based on individual loans, and aggregated ones based on pool data. Nous discutons les principales questions économétriques liées au phénomène de titrisation : études descriptives ou structurelles des comportements de remboursements anticipés, conséquences au niveau de la valorisation des titres. Ceci conduit à distinguer les approches désagrégées étudiant directement les crédits, des approches agrégées s’intéressant aux lots de créances.

Date: 1994
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Persistent link: https://EconPapers.repec.org/RePEc:ris:actuec:v:70:y:1994:i:3:p:227-245

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