政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/63902

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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/63902

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/63902

Title:	Closed-Form Mortgage Valuation Using Reduced-Form Model
Authors:	Liao, Szu-Lang;Tsai, Ming-Shann;Chiang, Shu-Ling 廖四郎;蔡明憲;江淑玲
Contributors:	金融系
Date:	2008-07
Issue Date:	2014-02-17 17:48:26 (UTC+8)
Abstract:	Valuing mortgage-related securities is more complicated than valuing regular defaultable claims due to the borrower`s prepayment behavior as well as the possibility of default. Some researchers use a structural-form model to obtain the closed-form formulas for the mortgage value. With this method, however, it is difficult to identify the critical region of early exercise. As an alternative, the reduced-form model developed in this article is able to value the mortgage without setting boundary conditions, and it can thereby accurately handle the multidimensional space of correlated state variables. The purpose of this article is to derive a closed-form solution of the mortgage valuation equation under a general reduced-form model that embeds relevant economic variables. This new approach enables portfolio managers to undertake sophisticated portfolio optimization and hedging analyses. An implementation procedure for the model is also provided to demonstrate how the valuation framework can be utilized in practical applications. [ABSTRACT FROM AUTHOR]
Relation:	Real Estate Economics, 36(2), 313-347
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1111/j.1540-6229.2008.00215.x
DOI:	10.1111/j.1540-6229.2008.00215.x
Appears in Collections:	[金融學系] 期刊論文

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