Kang, Pan; Zenios, Stavros A. - In: Management Science 38 (1992) 11, pp. 1665-1685
The estimation of prepayment rates for pools of mortgages is a critical component in determining the value of mortgage-backed securities---MBS for short---and derivative products. This paper discusses the development of prepayment models for pools of fixed-rate mortgages. The models are...