Ultra-fast scenario analysis of mortgage prepayment risk
Year of publication: |
2015
|
---|---|
Authors: | Theiakos, Alexios ; Tas, Jurgen M. C. ; Lem, Han van der ; Kandhai, Drona |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 17.2014/15, 3, p. 19-33
|
Subject: | market risk | mortgage valuation | GPU | PDE | forward Kolmogorov | Monte Carlo | Hypothek | Mortgage | Optionspreistheorie | Option pricing theory | Risiko | Risk | CAPM | Asset-Backed Securities | Asset-backed securities | Szenariotechnik | Scenario analysis | Monte-Carlo-Simulation | Monte Carlo simulation | Kreditrisiko | Credit risk | Marktrisiko | Market risk | Zins | Interest rate |
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