Estimating Borrower Mobility From Observed Prepayments

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An Empirical Test of a Two-Factor Mortgage Valuation Model

a structural model the borrower exercises the option and pays off the loan early. Default In addition to choosing whether to make the scheduled monthly payment or to pay off the loan in full, a borrower may choose to default on the loan, handing over the house, the value of which we denote by H t, and stopping all future mortgage payments.

Multifamily Mortgage Credit Risk: Lessons From Recent History

mobility rates, when compared with owner-occupants. Owner mobility rates are in the 3- to 5-percent per year range, whereas renter mobility is in the 20- to 55-percent range. The 1989 American Housing Survey shows an average multifamily unit turnover rate of 41 percent per year.2 Investors thus face the continual risk of attracting sufficient

Prepayment and the Valuation of Canadian Mortgage-Backed

financial variables. Furthermore, borrower heterogeneity complicates the application of standard option-pricing methods. Borrowers within a mortgage pool likely face different transaction costs, and in many cases different strike prices as well (consider housing equity, for example).

Estimating Mortgage Prepayment Risks Using GIS Data and

borrower may be locked-in into an advantageous mortgage.2 In this case a borrower may delay an otherwise utility increasing move. On the other hand, if the value of the mortgage M(r,H,G,t) exceeds the outstanding balance, a borrower will be more likely to move. Furthermore, if a borrower is considering moving soon, then the market value of