Endogenous Mortgage Current Coupons.pdf (702.41 kB)
Endogenous Mortgage Current Coupons
thesis
posted on 2016-04-01, 00:00 authored by Zhe ChengWe consider the problem of identifying current coupons for agency-backed To-Be-Announced pools of residential mortgage loans. In a doubly stochastic model which allows for prepayment intensities to depend upon current and origination mortgage rates, as well as underlying investment factors, we identify the current coupon with solutions to a degenerate elliptic, non-linear fixed point problem. Using Schaefer’s theorem we prove existence of current coupons. We also provide an explicit approximation to the fixed point, valid for compact perturbations off a baseline model where intensities only depend on the underlying factors. Numerical examples are provided which show that the approximation performs well in estimating the current coupon.
History
Date
2016-04-01Degree Type
- Dissertation
Department
- Mathematical Sciences
Degree Name
- Doctor of Philosophy (PhD)