Sugimura, Toru - In: Asia-Pacific Financial Markets 11 (2004) 2, pp. 185-214
-backed securities (RMBS's) using an intensity-based approach. This model incorporates full prepayment, partial prepayment, and default … in valuing a mortgage. Full prepayment is further classified into “refinancing” and “sale of a house” depending on the … reason. The time of occurrence of each of these three types of prepayment and default is modeled as the first jump time of a …