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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. / Business, Sauder School of / Real Estate Division / Graduate

Identiferoai:union.ndltd.org:UBC/oai:circle.library.ubc.ca:2429/6359
Date11 1900
CreatorsQuick, Roger D.
Source SetsUniversity of British Columbia
LanguageEnglish
Detected LanguageEnglish
TypeText, Thesis/Dissertation
Format3724637 bytes, application/pdf
RightsFor non-commercial purposes only, such as research, private study and education. Additional conditions apply, see Terms of Use https://open.library.ubc.ca/terms_of_use.

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