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Mortgagor behavior and prepayment models

Author(s)
Bonilla, Mario, 1969-
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Other Contributors
Sloan School of Management.
Advisor
Gordon M. Kaufman.
Terms of use
M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission. http://dspace.mit.edu/handle/1721.1/7582
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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).
 
Date issued
2003
URI
http://hdl.handle.net/1721.1/29736
Department
Sloan School of Management
Publisher
Massachusetts Institute of Technology
Keywords
Sloan School of Management.

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