A Stochastic U.S. House Price Model for Valuing Residential Mortgages and Other House Price–Dependent Assets
Kevin J. Stoll
The Journal of Fixed Income Winter 2013, 22 (3) 5-20; DOI: https://doi.org/10.3905/jfi.2012.22.3.005
Kevin J. Stoll
is the director of quantitative research and analytics at Smith Breeden Associates in Durham, NC.
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A Stochastic U.S. House Price Model for Valuing Residential Mortgages and Other House Price–Dependent Assets
Kevin J. Stoll
The Journal of Fixed Income Dec 2012, 22 (3) 5-20; DOI: 10.3905/jfi.2012.22.3.005
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- Article
- Abstract
- COMPONENTS OF THE HOUSE PRICE MODEL
- DATA FOR MODEL ESTIMATION
- ESTIMATION OF MODEL PARAMETERS: METHODOLOGY AND RESULTS
- CHARACTERISTICS OF HOUSE PRICE DISTRIBUTIONS
- MEASURING THE INTEREST RATE RISK OF RESIDENTIAL MORTGAGE ASSETS
- ADJUSTING THE MODEL
- CONCLUSION AND IDEAS FOR FURTHER STUDY
- Appendix A
- Appendix B
- ENDNOTES
- REFERENCES
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