A fixed-rate loan prepayment model for Australian mortgages/ created by John Daniel

By:

Daniel, John [author]

Material type: Text

TextSeries: Australian journal of management ; Volume 35, number 1Los Angeles: Sage, 2010Content type:

text

Media type:

unmediated

Carrier type:

volume

ISSN:

03128962

Subject(s):

Mortgage -- Asset-backed securities -- Method of moments -- Australia

LOC classification:

HD31 AUS

Online resources:

Click here to access online

Abstract: This paper is an investigation of Australian mortgage loan prepayment from a modelling perspective. A prepayment model for loans of mortgage- backed securities is developed specifically for the Australian mortgage market, and then empirically tested using (Reuters) Australian mortgage-backed security data. The model has origins in the fixed-rate loan prepayment models of the United States, but is designed and developed to take into account the Australian mortgage market structure. The model proves very successful when tested empirically.

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Holdings
Item type	Current library	Call number	Vol info	Status	Notes	Date due	Barcode
Journal Article	Main Library - Special Collections	HD31 AUS (Browse shelf(Opens below))	Vol. 35, no.1 (pages 99-112)	Not for loan	For in house use only

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This paper is an investigation of Australian mortgage loan prepayment from a modelling perspective. A prepayment model for loans of mortgage- backed securities is developed specifically for the Australian mortgage market, and then empirically tested using (Reuters) Australian mortgage-backed security data. The model has origins in the fixed-rate loan prepayment models of the United States, but is designed and developed to take into account the Australian mortgage market structure. The model proves very successful when tested empirically.

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