Average-maturity model for asset backed securities

Abstract
We describe an average-maturity method to model pre-payments of asset-backed securities for which it may or may not be present an expiration date. Despote the model simplicity it is applicable to a wide range of securities.

Keywords: interest-rate derivatives, abs, asset-backed securities, statistical models, interest rates, deriva- tives, pricing functions, bond pricing

Pdf file: abs-average-maturity-model.pdf

abs-average-maturity-model

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