       
|
|
Volume 33 Number 2 December 2008 |
|
|
A Variable-Rate Loan-Prepayment Model for Australian Mortgages |
| John Daniel
|
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 variable-rate loan-prepayment models of the U.S., but is designed and developed to take 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.
|
|
| Download this article. |
Keywords |
|
PREPAYMENT MODELLING; AUSTRALIAN AND U.S. MORTGAGE MARKETS; VARIABLE-RATE LOANS; FIXED-RATE LOANS; MORTGAGE-BACKED SECURITIES; MORTGAGE RATES; PARTIAL PREPAYMENT; INVESTMENTS.
|
Contact DetailsJohn DanielSchool of Finance and Applied Statistics, Australian National University. Email: John.Daniel@anu.edu.au |
|
|
This page was last updated in May 2009. Copyright © The University of New South Wales Phone: +61 2 9931 9200; Email: eajm@agsm.edu.au |