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Rise of the Machines: Application of Machine Learning to Mortgage Prepayment Modeling

Glenn M. Schultz and Frank J. Fabozzi
The Journal of Fixed Income Winter 2022, jfi.2021.1.123; DOI: https://doi.org/10.3905/jfi.2021.1.123
Glenn M. Schultz
is the director of mortgage prepayment modeling for MUFG Securities, in New York, New York
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Frank J. Fabozzi
is a professor of finance at EDHEC Business School in Nice, France
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The Journal of Fixed Income: 32 (3)
The Journal of Fixed Income
Vol. 32, Issue 3
Winter 2023
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Rise of the Machines: Application of Machine Learning to Mortgage Prepayment Modeling
Glenn M. Schultz, Frank J. Fabozzi
The Journal of Fixed Income Nov 2021, jfi.2021.1.123; DOI: 10.3905/jfi.2021.1.123

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Rise of the Machines: Application of Machine Learning to Mortgage Prepayment Modeling
Glenn M. Schultz, Frank J. Fabozzi
The Journal of Fixed Income Nov 2021, jfi.2021.1.123; DOI: 10.3905/jfi.2021.1.123
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  • Article
    • Abstract
    • COHORT MODELING VERSUS LOAN-LEVEL MODELING
    • THE MORTGAGE PREPAYMENT MODEL
    • OVERVIEW OF MACHINE LEARNING
    • MACHINE LEARNING MORTGAGE PREPAYMENT MODEL
    • PREPAYMENT MODEL
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
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