Title: Default Characteristics of Fixed Rate Mortgage and Mortgage Pricing
Abstract: The main credit risk of fixed rate mortgages is default.The pricing model based on option pricing will undervalue the probability of default.By analyzing the default cost and the reasons for default,the cash flow which the commercial banks can get when the borrowers default can be determined,then the model to estimate the expectation value of fixed rate mortgages can be developed.
Publication Year: 2008
Publication Date: 2008-01-01
Language: en
Type: article
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