Return to search

Prepayment and the valuation of Canadian mortgage-backed securities : a proportional hazards approach

This paper estimates both parametric and non-parametric
proportional hazards models for a subset of Canadian mortgage-backed
security data. The estimated parametric hazard function is
then used to drive exogenous prepayments within an arbitrage-free
model of the term structure of interest rates. Theoretical prices as
well as option-adjusted spreads (OAS) are obtained for three
different mortgage-backed securities using a Monte-Carlo
simulation. Though no formal test is done to compare the ability of
the different hazard models to explain observed market prices, the
non-parametric baseline hazard is more consistent with the age-dependent
prepayment provisions typical of most mortgage
contracts in Canada.

Identiferoai:union.ndltd.org:LACETR/oai:collectionscanada.gc.ca:BVAU.2429/6359
Date11 1900
CreatorsQuick, Roger D.
Source SetsLibrary and Archives Canada ETDs Repository / Centre d'archives des thèses électroniques de Bibliothèque et Archives Canada
LanguageEnglish
Detected LanguageEnglish
TypeElectronic Thesis or Dissertation
RelationUBC Retrospective Theses Digitization Project [http://www.library.ubc.ca/archives/retro_theses/]

Page generated in 0.0022 seconds