A Note on Subordinate ratio for Residential Mortgage-Backed Securities
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- Hayakawa Tadaaki
- Kyoto University graduate school
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- TANAKA Hiroaki
- Department of Applied Analysis and Complex Dynamical Systems,Kyoto University
Bibliographic Information
- Other Title
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- 住宅ローン債権担保証券における劣後比率の考察
Description
Stochastic property of the mortgage loan is mathematically modeled by taking into account both defaults and interest-sensitive prepayments, which are fundamental risk factors.The proposed model is applied for pricing of the Residential Mortgage-Backed Securities,in which the well-known Vasicek model is used for describing the term structure of the prime rate. <BR>Further, disscussion is made on the subodinate ratio in the mortgage loan pool.
Journal
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- NCTAM papers, National Congress of Theoretical and Applied Mechanics, Japan
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NCTAM papers, National Congress of Theoretical and Applied Mechanics, Japan 56 (0), 288-288, 2007
National Committee for IUTAM
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Details 詳細情報について
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- CRID
- 1390282680570970240
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- NII Article ID
- 130004603795
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- Text Lang
- ja
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- Data Source
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- JaLC
- CiNii Articles
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- Abstract License Flag
- Disallowed
