Prepayment and the valuation of Canadian mortgage-backed securities : a proportional hazards approach
This paper estimates both parametric and non-parametric proportional hazards models for a subset of Canadian mortgage-backed security data. The estimated parametric hazard function is then used to drive exogenous prepayments within an arbitrage-free model of the term structure of interest rates....
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| Language: | English |
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2009
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| Online Access: | http://hdl.handle.net/2429/6359 |