The Valuation at Origination of Mortgages with Full Prepayment and Default Risks

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2024-04-08 DOI:10.1007/s11009-024-10081-2

Congjin Zhou, Guojing Wang, Yinghui Dong, Pin Wang

引用次数: 0

Abstract

We investigate the valuation problem of a mortgage contract with full prepayment and default risks using the reduced-form model with regime switching. The hazard rates of full prepayment and default are specified as linear functions of the risk-free interest rate and house prices, respectively, which are characterized by Ornstein-Uhlenbeck processes with regime switching. To derive the explicit valuation formula, we derive the distribution of the number of transitions for two-state Markov processes in finite time and the conditional joint probability density function of transition times using the uniformization technique. Finally, we analyze the effect of parameters on the valuation of the mortgage.

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具有完全预付和违约风险的抵押贷款的初始估值

我们利用具有制度转换的简化模型研究了具有全额提前还款和违约风险的抵押贷款合同的估值问题。全额预付和违约的危险率分别是无风险利率和房价的线性函数，而无风险利率和房价的特征是具有制度转换的奥恩斯坦-乌伦贝克过程。为了推导出明确的估值公式，我们利用均匀化技术推导出有限时间内双态马尔可夫过程的转换次数分布以及转换时间的条件联合概率密度函数。最后，我们分析了参数对抵押估值的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.