Last edited by Dam
Saturday, August 1, 2020 | History

3 edition of Optimal recursive refinancing and the valuation of mortgage-backed securities found in the catalog.

Optimal recursive refinancing and the valuation of mortgage-backed securities

Francis A. Longstaff

Optimal recursive refinancing and the valuation of mortgage-backed securities

by Francis A. Longstaff

  • 346 Want to read
  • 38 Currently reading

Published by National Bureau of Economic Research in Cambridge, Mass .
Written in English

    Subjects:
  • Mortgage loans -- United States -- Refinancing -- Econometric models

  • Edition Notes

    StatementFrancis A. Longstaff.
    SeriesNBER working paper series -- no. 10422., Working paper series (National Bureau of Economic Research) -- working paper no. 10422.
    ContributionsNational Bureau of Economic Research.
    The Physical Object
    Pagination28, [25] p. :
    Number of Pages28
    ID Numbers
    Open LibraryOL17621723M
    OCLC/WorldCa55092335

    "Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities" "The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks" (with Jun Liu and Ravit Mandell) Forthcoming Articles: "Corporate Earnings and the Equity Premium" (with Monika Piazzesi), forthcoming, Journal of Financial Economics. refinancing. They also wait an average of more than a year before refinancing, even when it is optimal to do so. The model fits observed pre-payment behavior as well as thee recent empirical model of Schwartz and Torous (). Implica-tions for pricing mortgage-backed securities are’ discussed A GNMA mortgage-backed security gives its owner.

    Optimal recursive refinancing and the valuation of mortgage-backed securities. In Derivatives Reports form the Frontiers, volume 2 of NYU/Stern Conference proceedings, . function into our valuation framework, we provide a complete model to value mortgage- backed securities. GIVEN AN OPTIMAL, VALUE-MINIMIZING call policy, a mortgage should never be called when its market value is less than its call price. Similarly, a mortgage should be called if it is worth more than its call price.

    A mortgage-backed security (MBS) is a type of asset-backed security (an 'instrument') which is secured by a mortgage or collection of mortgages. The mortgages are aggregated and sold to a group of individuals (a government agency or investment bank) that securitizes, or packages, the loans together into a security that investors can securitizing mortgages are usually treated as a.   1 Reason PennyMac Financial Services Is Beating the Market Falling interest rates have created a refinance wave and this financial company is benefitting.


Share this book
You might also like
The wage costs of a national statutory minimum wage in Britain

The wage costs of a national statutory minimum wage in Britain

The new life after death religion (BMH discussion series)

The new life after death religion (BMH discussion series)

Outlook for numerical control of machine tools

Outlook for numerical control of machine tools

The Watson Go to Birmingham--1963 with Connections

The Watson Go to Birmingham--1963 with Connections

Prince of flowers

Prince of flowers

Portals to the world

Portals to the world

GATT pension provisions including Retirement Protection Act

GATT pension provisions including Retirement Protection Act

Europeanization of procedural law and the new challenges to fair trial

Europeanization of procedural law and the new challenges to fair trial

internal finance of industrial undertakings.

internal finance of industrial undertakings.

On the playing fields of Oxford

On the playing fields of Oxford

Locomotives of the world

Locomotives of the world

A practical guide for ambitious politicians.

A practical guide for ambitious politicians.

Escape from the Shawnees.

Escape from the Shawnees.

Swift

Swift

Exotic stars as challenges to evolution

Exotic stars as challenges to evolution

Optimal recursive refinancing and the valuation of mortgage-backed securities by Francis A. Longstaff Download PDF EPUB FB2

Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities Francis A. Longstaff. NBER Working Paper No. Issued in April Cited by: Download Citation | Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities | We study the optimal recursive refinancing problem where a Author: Francis A.

Longstaff. Get this from a library. Optimal recursive refinancing and the valuation of mortgage-backed securities. [Francis A Longstaff; National Bureau of Economic Research.] -- "We study the optimal recursive refinancing problem where a borrower minimizes his lifetime mortgage costs by repeatedly refinancing when rates drop sufficiently.

Longstaff, Francis A., "Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities," University of California at Los Angeles, Anderson Graduate School of Management qt19kt, Anderson Graduate School of Management, UCLA.

Handle: RePEc:cdl:anderf:qt19kt. Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities. By Francis A. Longstaff. Download PDF (1 MB) Abstract.

We study the optimal recursive refinancing problem where a borrower minimizes his lifetime mortgage costs by repeatedly refinancing when rates drop sufficiently.

Applying the recursive model to an extensive Author: Francis A. Longstaff. Optimal recursive refinancing and the valuation of mortgage-backed securities.

Retrieved from the eScholarship Repository, University of California website Jan Longstaff, Francis A., "Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities," University of California at Los Angeles, Anderson Graduate School of Management qt19kt, Anderson Graduate School of Management, UCLA.

Matteo Bissiri & Riccardo Cogo,   When homeowners refinance their home loans at lower rates, the premature return of principal pushes the value of mortgage-backed securities lower. Refinance. The Residential Mortgage-Backed Securities (hereinafter RMBS) in which residential mortgage loans are being passed through to investors in the form of packages, have been assigned the best possible credit ratings by rating agencies.

Get this from a library. Optimal recursive refinancing and the valuation of mortgage-backed securities. [Francis A Longstaff; National Bureau of Economic Research.]. Caplin, Freeman, and Tracy: w Collateral Damage: How Refinancing Constraints Exacerbate Regional Recessions: Longstaff: w Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities: Keys, Pope, and Pope: w Failure to Refinance: Campbell and Cocco: w Household Risk Management and Optimal Mortgage Choice: Hendershott and Order.

Optimal Recursive Refinancing and the Valuation of MortgageBacked Securities.” NBER Working Paper Optimal Mortgage Refinancing: A Closed Form ().

Prepayment and the Valuation of Mortgage Pass-Through Securities.” (). Optimal recursive refinancing and the valuation of mortgage-backed securities, NBER Working Paper No.

Google Scholar. Saunders, A., & Allen, L. Credit risk measurement: New approaches to value at risk and other paradigms. Hoboken: John Wiley. Google Scholar. Author(s): Longstaff, Francis A. | Abstract: We study the optimal recursive refinancing problem where a borrower minimizes his lifetime mortgage costs by repeatedly refinancing when rates drop sufficiently.

Key factors affecting the optimal decision are the cost of refinancing and the possibility that the mortgagor may have to refinance at a premium rate because of his credit. Longstaff, F.A., (), “Optimal Refinancing and the Valuation of Mortgage-Backed Securities,” working paper, University of California at Los Angeles.

Google Scholar [12]. Longstaff, Optimal recursive refinancing and the valuation of mortgage-backed securities, Derivatives Reports from the Frontiers, NYU/Stern Conference Proceedings 2 (). Google Scholar R. Merton, Bell Journal of Economics and Managment Science 4, (). Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities: 2/28 Jim Gatheral: Managing Director in Global Equity-Linked Products, Merrill Lynch: Modeling the Implied Volatility Surface: Slides: pdf: 3/14 Lisa Goldberg: Director, Credit Research, BARRA: Forecasting Default in the Face of Uncertainty: Paper: pdf.

Agency Swap Program: A form of securitization whereby single-family residential mortgages are swapped for mortgage-backed securities issued by government agencies such as Fannie Mae and Freddie. This chapter describes and illustrates the elements and mechanics of valuing mortgage-backed securities (MBS).

It begins with the basics of valuation and then briefly reviews the sources of MBS prepayments. Next, it discusses the models and assumptions that go into generating a set of projected cash flows.

Forecasting MBS prepayment speeds and, in turn, total cash flows, is a much more. Zhou, Ti, Indifference Valuation of Mortgage-Backed Securities in the Presence of Prepayment Risk ().

Mathematical Finance, Vol. 20, Issue 3, pp. July Available at SSRN: Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities.

Optimal mortgage refinancing: application of bond valuation tools to household risk management Andrew J. Kalotaya, prepayment option in the valuation of mortgage-backed securities.

Work of this genre initially appeared in the s and has proliferated since the s.3 Notably, none of. Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities By Francis A. Longstaff. W.R. Archer, D. LingPricing Mortgage-Backed Securities: Integrating Optimal Call and Empirical Models of Prepayment AREUEA, 21 (), pp.

Google Scholar.