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A fixed-rate loan prepayment model for Australian mortgages

Daniel, John

Description

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...[Show more]

CollectionsANU Research Publications
Date published: 2010
Type: Journal article
URI: http://hdl.handle.net/1885/61814
Source: Australian Journal of Management
DOI: 10.1177/0312896209358261

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