Prepayment modelling of (Australian) mortgage loans
The thesis is primarily an empirical investigation of Australian mortgage loan prepayment from a modelling perspective. The first objective of the research is to develop a variable-rate loan prepayment model that takes into account the Australian mortgage market structure. The model proves very successful when tested empirically, and is able to explain the partial prepayment features of the Australian market as well as full prepayments. Secondly, Australian fixed-rate prepayment is...[Show more]
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