政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/70514

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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/70514

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/70514

Title:	Analyzing yield, duration and convexity of mortgage loans under prepayment and default risks
Authors:	廖四郎 Tsai, Ming-Shann;Liao, Szu-Lang;Chiang, Shu-Ling
Contributors:	金融系
Keywords:	yield;duration;convexity;default insurance;prepayment penalty;partial prepaymen
Date:	2009
Issue Date:	2014-10-09 16:46:08 (UTC+8)
Abstract:	In this article, we construct a general model, which considers the borrower`s financial and non-financial termination behavior, to derive the closed-form formula of the mortgage value for analyzing the yield, duration and convexity of the risky mortgage. Since the risks of prepayment and default are reasonably expounded in our model, our formulae are more appropriate than traditional mortgage formulae. We also analyze the effects of the prepayment penalty and partial prepayment on the yield, duration and convexity of a mortgage, and provide lenders with an upper-bound for the mortgage default insurance rate. Our model provides portfolio managers a useful framework to more appropriately appraise the mortgage and more effectively hedge their mortgage holdings. From the results of sensitivity analyses, we find that higher interest-rate, prepayment and default risks will increase the mortgage yield and reduce the duration and convexity of the mortgage.
Relation:	Journal of Housing Economics,18(2),92-103
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1016/j.jhe.2009.02.005
DOI:	10.1016/j.jhe.2009.02.005
Appears in Collections:	[金融學系] 期刊論文

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