The Valuation of Mortgage Backed Securities with Stochastic Probabilities of Default and Prepayment
Year of publication: |
2007
|
---|---|
Authors: | Venegas-Martínez, Francisco ; Reynoso-Vendrell, J. Víctor |
Published in: |
Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics). - Escuela de Graduados en Administración Pública y Políticas Públicas (EGAP). - Vol. 1.2007, 2, p. 148-168
|
Publisher: |
Escuela de Graduados en Administración Pública y Políticas Públicas (EGAP) |
Subject: | Mortgage valuation | MBS prepayment | MBS default | MBS curtailment | Cox Process |
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