Valuation of mortgage servicing rights with foreclosure delay and forbearance allowed
CC Lin, TH Chu, LJ Prather - Review of Quantitative Finance and …, 2006 - Springer
We develop a bivariate binomial model to price Mortgage Servicing Rights (MSRs). Our
model is an improvement over previous MSR pricing models by explicitly incorporating the …
model is an improvement over previous MSR pricing models by explicitly incorporating the …
Pricing the competing risks of mortgage default and prepayment in stochastic metropolitan economies
H Buist, TT Yang - Managerial Finance, 1998 - emerald.com
Outlines previous research relevant to the risks involved in residential mortgages and
suggests some reasons for the gap between theory and market practice. Develops a model …
suggests some reasons for the gap between theory and market practice. Develops a model …
Accounting practices and earnings volatility in mortgage banking
D Hutchison - Journal of Housing Research, 2012 - Taylor & Francis
Mortgage servicing rights (MSRs) accounting rules create severe interest rate earnings risk
for mortgage banks, even when the firm is cash flow-neutral to interest rate changes …
for mortgage banks, even when the firm is cash flow-neutral to interest rate changes …
A computational model of mortgage prepayment options
M Yang, R Xiao - International Workshop on Internet and Network …, 2005 - Springer
This paper develops a computational model of residential mortgage prepayment over
discrete time. The prepayment options at every payment date are embedded in the model by …
discrete time. The prepayment options at every payment date are embedded in the model by …
[BOOK][B] Option theory for mortgages and mortgage-backed securities
YME Lam - 2003 - search.proquest.com
The objective of this dissertation is to develop an option model for residential mortgages and
Mortgage-Backed Securities. Previous studies in the literature have identified several …
Mortgage-Backed Securities. Previous studies in the literature have identified several …
[BOOK][B] A lattice valuation model of mortgage servicing rights and implications for bank loan portfolio allocation
CC Lin - 2001 - search.proquest.com
The primary interest of this study is to evaluate the price of mortgage servicing rights using
an option-based model of mortgage servicing rights and to determine the optimal mix …
an option-based model of mortgage servicing rights and to determine the optimal mix …
[CITATION][C] Included
SPB ALDRICH, WR GREENBERG, BS PAYNER - Journal of Fixed Income, 2001