Mortgage Analysis

Aron Gottesman ()
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Aron Gottesman: Pace University

Chapter 96 in Encyclopedia of Finance, 2022, pp 2263-2274 from Springer

Abstract: Abstract This chapter introduces mortgage analysis. We first review mortgage characteristics and concepts. We then explore equations and Excel functions through which mortgage cash flows are calculated, including the mortgage payments, interest payments, and principal payments. This chapter then explains mortgage sensitivity and the use of Weighted Average Life (WAL) to measure mortgage sensitivity. This chapter concludes with an exploration of prepayment, including prepayment measurement and modelling using Single Month Mortality (SMM), Conditional Prepayment Rate (CPR), and Prepayment Speed Assumptions (PSA).

Keywords: Mortgages; Weighted-average life; Prepayment (search for similar items in EconPapers)
JEL-codes: G21 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/978-3-030-91231-4_98

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