A Variable-Rate Loan-Prepayment Model for Australian Mortgages

John Daniel

doi:10.1177/031289620803300204

A Variable-Rate Loan-Prepayment Model for Australian Mortgages

John Daniel^*

^*Corresponding author for this work

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

8 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 variable-rate loan-prepayment models of the U.S., but is designed and developed to take into account the Australian mortgage-market structure. The model proves very successful when tested empirically, and is able to explain the partial-prepayment features of the Australian market as well as full prepayments.

Original language	English
Pages (from-to)	277-305
Number of pages	29
Journal	Australian Journal of Management
Volume	33
Issue number	2
DOIs	https://doi.org/10.1177/031289620803300204
Publication status	Published - Dec 2008

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title = "A Variable-Rate Loan-Prepayment Model for Australian Mortgages",

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 variable-rate loan-prepayment models of the U.S., but is designed and developed to take into account the Australian mortgage-market structure. The model proves very successful when tested empirically, and is able to explain the partial-prepayment features of the Australian market as well as full prepayments.",

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AB - 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 variable-rate loan-prepayment models of the U.S., but is designed and developed to take into account the Australian mortgage-market structure. The model proves very successful when tested empirically, and is able to explain the partial-prepayment features of the Australian market as well as full prepayments.

KW - AUSTRALIAN AND U.S MORTGAGE MARKETS

KW - FIXED-RATE LOANS

KW - INVESTMENTS

KW - MORTGAGE RATES

KW - MORTGAGE-BACKED SECURITIES

KW - PARTIAL PREPAYMENT

KW - PREPAYMENT MODELLING

KW - VARIABLE-RATE LOANS

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A Variable-Rate Loan-Prepayment Model for Australian Mortgages

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