An Analysis of the Ex Ante Probabilities of Mortgage Prepayment and Default
在传统定价模型中加入家庭收入这一随机过程，并明确建模抵押贷款承销规则对最优提前还款的限制，使理论预测的事前提前还款和违约率更接近历史经验。
Observed mortgage prepayment and default rates have been far different than the ruthless option exercise rates predicted by contingent claims models of mortgage pricing. The discrepancies have been attributed to both the competing‐risk nature of prepayment and default and to transactions costs. This paper tries a different means of reconciliation. We introduce a third stochastic process, household income, into the usual pricing model that includes only the spot interest rate and the house price. The presence of income allows considering consumption‐theoretic determinants of termination. The role of mortgage underwriting rules in restricting optimal prepayment is also explicitly modeled. Numerical ex ante prepayment and default rates based on the theoretical model come much closer to historical experience.