Mortgagor behavior and prepayment models
Author(s)
Bonilla, Mario, 1969-
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Other Contributors
Sloan School of Management.
Advisor
Gordon M. Kaufman.
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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
2003Department
Sloan School of ManagementPublisher
Massachusetts Institute of Technology
Keywords
Sloan School of Management.