UK fixed rate repayment mortgage indemnity valuation

We use a mean-reverting interest rate model and a lognormal house price diffusion model to evaluate British fixed rate mortgage contracts with (embedded) default and prepayment options. The valuation model also provides values for mortgage indemnity guarantees and the corresponding lenders' coi...

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Bibliographic Details
Main Author: Pereira, José Azevedo (author)
Other Authors: Newton, David P. (author), Paxson, Dean A. (author)
Format: workingPaper
Language:eng
Published: 2022
Subjects:
House Prices
Mortgage Contrats
Mortgage Value
Mortgage Modelling
United Kingdom
Online Access:http://hdl.handle.net/10400.5/23570
Country:Portugal
Oai:oai:www.repository.utl.pt:10400.5/23570

Internet

http://hdl.handle.net/10400.5/23570

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