A fixed-rate loan prepayment model for Australian mortgages

John Daniel

doi:10.1177/0312896209358261

A fixed-rate loan prepayment model for Australian mortgages

John Daniel^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

4 Citations (Scopus)

Abstract

This paper is an investigation of Australian mortgage loan prepayment from a modelling perspective. A prepayment model for loans of mortgage- backed securities is developed specifically for the Australian mortgage market, and then empirically tested using (Reuters) Australian mortgage-backed security data. The model has origins in the fixed-rate loan prepayment models of the United States, but is designed and developed to take into account the Australian mortgage market structure. The model proves very successful when tested empirically.

Original language	English
Pages (from-to)	99-112
Number of pages	14
Journal	Australian Journal of Management
Volume	35
Issue number	1
DOIs	https://doi.org/10.1177/0312896209358261
Publication status	Published - Apr 2010

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KW - Mortgage rates

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KW - Partial prepayment

KW - Prepayment modelling

KW - Variable-rate loans

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A fixed-rate loan prepayment model for Australian mortgages

Abstract

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