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首页> 外文期刊>International journal of information systems in the service sector >Prepayment Risk Modeling for Residential Mortgage Backed Securities: The Unique Indian Experience
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Prepayment Risk Modeling for Residential Mortgage Backed Securities: The Unique Indian Experience

机译：住房抵押贷款证券的预付款风险建模：独特的印度经验

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摘要

The first public issue ofsecuritized instruments is overdue in Indian capital market (SEBA 2008). Development of suitable pricing models would be helpful in trading of these instruments. This paper is focused on prepayment risk of housing loan pools. Prepayment estimation is useful to project the cash-flows, which are essential for pricing. A few prevalent models and their variations are tested and suitably adjusted to make them readily applicable on the Indian data. It is found that the prepayment can best be explained by an adjusted Chinloy model with contracted rate (and not the current rate), age of the mortgage and burnout. This behavior is unique because the current rate does not have any bearing on the prepayments in India.
机译：在印度资本市场上，证券化工具的第一个公开发行已逾期（SEBA 2008）。开发合适的定价模型将有助于这些工具的交易。本文着重于住房贷款池的预付款风险。预付款估算对于预测现金流量非常有用，这对于定价至关重要。对一些流行的模型及其变化进行了测试，并进行了适当的调整，以使其易于应用于印度数据。发现预付款可以用调整后的Chinloy模型（合同规定的利率（而不是当前利率），抵押的年龄和倦怠）来最好地解释。这种行为是独特的，因为当前汇率与印度的预付款没有任何关系。

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