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Keywords: Prepayment
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2022) 30 (4): 278–295.
Published: 21 September 2022
...Sang Won Lee; Su Bok Ryu; Tae Young Kim; Jin Q. Jeon This paper examines how the macroeconomic environment affects the determinants of prepayment of mortgage loans from October 2004 to February 2020. For more accurate analysis, the authors define the timing of prepayment not only before the loan...
Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2012) 20 (4): 391–425.
Published: 30 November 2012
...Yun Woo Park; Doo Won Bang Residential mortgage loans as well as the MBS (mortgage-backed security), which securitizes these loans, are exposed to prepayment risk. We examine the effect of prepayment process on the duration of the CMO (multi-tranche MBS). In particular, we examine the effect...
