search query: @author Torous, W. N. / total: 9
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| Author: | Schwartz, E. S. Torous, W. N. |
| Title: | Prepayment and the valuation of mortgage-backed securities. |
| Journal: | Journal of Finance
1989 : JUN, VOL. 44:2, p. 375-392 |
| Index terms: | VALUATION MORTGAGES SECURITIES |
| Language: | eng |
| Abstract: | A valuation framework for mortgage-backed securities is put forward. It is assumed that at each point in time there exists a probability of prepaying: this conditional probability depends upon the prevailing state of the economy. Maximum-likelihood techniques are used to estimate a prepayment function in light of recent aggregate prepayment experience. By integrating this empirical prepayment function into the valuation framework, a complete model is provided to value mortgage-backed securities. |
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