Optimal recursive refinancing and the valuation of mortgage-backed securities
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Optimal recursive refinancing and the valuation of mortgage-backed securities

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

Subjects:

  • Mortgage loans -- Refinancing.,
  • Mortgage-backed securities.

Book details:

Edition Notes

StatementFrancis A. Longstaff.
SeriesNBER working paper series ;, working paper 10422, Working paper series (National Bureau of Economic Research : Online) ;, working paper no. 10422.
ContributionsNational Bureau of Economic Research.
Classifications
LC ClassificationsHB1
The Physical Object
FormatElectronic resource
ID Numbers
Open LibraryOL3476227M
LC Control Number2005615692

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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.