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第18讲-抵押贷款提前还款建模和抵押贷款估值Lecture 18 - Modeling Mortgage Prepayments and Valuing Mortgages |
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| 课程网址: | https://videolectures.net/yalemecon251f09_geanakoplos_lec18/ |
| 主讲教师: | John Geanakoplos |
| 开课单位: | 耶鲁大学 |
| 开课时间: | 2012-03-17 |
| 课程语种: | 英语 |
| 中文简介: |  |
| 课程简介: | A mortgage involves making a promise, backing it with collateral, and defining a way to dissolve the promise at prearranged terms in case you want to end it by prepaying. The option to prepay, the refinancing option, makes the mortgage much more complicated than a coupon bond, and therefore something that a hedge fund could make money trading. In this lecture we discuss how to build and calibrate a model to forecast prepayments in order to value mortgages. Old fashioned economists still make non-contingent forecasts, like the recent predictions that unemployment would peak at 8%. A model makes contingent forecasts. The old prepayment models fit a curve to historical data estimating how sensitive aggregate prepayments have been to changes in the interest rate. The modern agent based approach to modeling rationalizes behavior at the individual level and allows heterogeneity among individual types. From either kind of model we see that mortgages are very risky securities, even in the absence of default. This raises the question of how investors and banks should hedge them. |
| 关 键 词: | 金融理论; 提前还款; 抵押贷款 |
| 课程来源: | 视频讲座网 |
| 数据采集: | 2023-11-23：liyq |
| 最后编审: | 2023-11-23：liyq |
| 阅读次数: | 18 |