A study on the prepayment of residential mortgage loans
| Autor: | Yun-ching Wang, 王雲清 |
|---|---|
| Rok vydání: | 2005 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 93 The business of domestic asset-backed securitization is under way. And the RMBS has been issued successfully. Because of the prepayment of mortgage would impact the cash flow of the securities, it results in the uneasiness in evaluating the securities, as well as the risk for the investors. 17,063 samples of residential mortgage data collected from a bank were analyzed based on the Binary Logistic Regression Model. As an empirical research on the prepayment of mortgage, this study sought for the factors of prepayment. 11 independent variables researched were correlated with the interest rates, such as: average interest rate, market interest rate, beginning interest rate, etc. The other 13 independent variables were not correlated with interest rates, such as: gender, loan amount, loan contract duration, applicant age, etc. First of all, this study used all independent variables to run the regression. Secondly, the data were divided to two partitions, and only the variables correlated with interest rates were selected to run the regression. The empirical result appears that the factors such as: average rate, market rate, loan age, etc, have significant effect to the behavior of prepayment. In addition, the percentage of correct prediction by the model consisting interest items only is above 90. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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