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.
| Identifer | oai:union.ndltd.org:LACETR/oai:collectionscanada.gc.ca:BVAU.2429/6359 |
| Date | 11 1900 |
| Creators | Quick, Roger D. |
| Source Sets | Library and Archives Canada ETDs Repository / Centre d'archives des thèses électroniques de Bibliothèque et Archives Canada |
| Language | English |
| Detected Language | English |
| Type | Electronic Thesis or Dissertation |
| Relation | UBC Retrospective Theses Digitization Project [http://www.library.ubc.ca/archives/retro_theses/] |
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