Mortgagor behavior and prepayment models
Name
54040303-MIT.pdf
Description
Full printable version
Size
2.52 MB
Format
Adobe PDF
Checksum (MD5)
39cdd8361632fa51013e2024602722b2
Author(s)
Bonilla, Mario, 1969-
Advisor(s)
Gordon M. Kaufman.
Date Issued
2003
Publisher
Massachusetts Institute of Technology
Abstract
We measure the efficiency of mortgagors over time and the implications that this increased efficiency may have on prepayments. The problem was approached using two methodologies: a) econometric techniques to measure the refinancing incentive elasticity of prepayments and b) simulations based on a model of the refinancing incentive using system dynamics modeling. The results suggest that there is a structural change in the prepayment function used in the study over a period of 6 years. However, the results of the simulations model play down the effects that increased mortgagor efficiency may have on prepayments and reaffirms the effect of a sustained downward drift of the mortgage rate as the most important prepayment rates explanatory factor.
Description
Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, 2003.
Includes bibliographical references (leaf 46).
Subjects
Sloan School of Management.
MIT Department
Sloan School of Management
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