The Valuation at Origination of Mortgages with Full Prepayment and Default Risks
Author:
Funder
National Natural Science Foundation of China
Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s11009-024-10081-2.pdf
Reference45 articles.
1. Ali SEA, Rizvi SSH, Lai F, Ali RF, Jan AA (2021) Predicting delinquency on Mortgage loans: an exhaustive parametric comparison of machine learning techniques. Int J Ind Eng Manag 12(1):1-13. https://doi.org/10.24867/IJIEM-2021-1-272
2. Ambrose BW, Sanders AB (2003) Commercial mortgage-backed securities: prepayment and default. J Real Estate Finance Econom 26(2):179–196. https://doi.org/10.2139/ssrn.299298
3. Bernanke B, Gertler M (1999) Monetary policy and asset price volatility. Econom Rev 84(Quarter 4):17-51. https://doi.org/10.1093/acprof:osobl/9780199844333.003.0006
4. Bhattacharya A, Wilson SP, Soyer R (2019) A Bayesian approach to modeling mortgage default and prepayment. Eur J Oper Res 274(3):1112–1124. https://doi.org/10.1016/j.ejor.2018.10.047
5. Bielecki T, Rutkowski M (2002) Credit risk: Modeling, valuation and hedging. Springer, Berlin
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