Mortgage-backed securities :models of prepayment, an analysis
Lassinger, Robert T.
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The objective of this paper is to provide a review current literature on single family fixed rate mortgage prepayment estimation models and to determine a method to improve the estimation of mortgage prepayments for the purpose of projecting the cash flow from mortgage securities. Several prepayment methodologies and models were analyzed to find a method to enhance the forecasting of mortgage prepayments.
It was determined that the mortgage prepayment model developed in this paper provides a better estimation of prepayments when homeowner's have a positive financial incentive to prepay their mortgage.
- Masters Theses