Prepayment and the Valuation of Mortgage‐Backed Securities
提出一个抵押贷款支持证券的估值框架，假设提前还款概率取决于经济状态，并用最大似然法估计提前还款函数，整合进估值模型。
ABSTRACT This paper puts forward a valuation framework for mortgage‐backed securities. Rather than imposing an optimal, value‐minimizing call condition, we assume that at each point in time there exists a probability of prepaying; this conditional probability depends upon the prevailing state of the economy. To implement our valuation procedure, we use maximum‐likelihood techniques to estimate a prepayment function in light of recent aggregate GNMA prepayment experience. By integrating this empirical prepayment function into our valuation framework, we provide a complete model to value mortgage‐backed securities.