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

Access to Document

10.1177/031289620803300204

Cite this

@article{f87e6ec966494eb6b65b242e5b46f994,

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.",

keywords = "AUSTRALIAN AND U.S MORTGAGE MARKETS, FIXED-RATE LOANS, INVESTMENTS, MORTGAGE RATES, MORTGAGE-BACKED SECURITIES, PARTIAL PREPAYMENT, PREPAYMENT MODELLING, VARIABLE-RATE LOANS",

author = "John Daniel",

year = "2008",

month = dec,

doi = "10.1177/031289620803300204",

language = "English",

volume = "33",

pages = "277--305",

journal = "Australian Journal of Management",

issn = "0312-8962",

publisher = "SAGE Publications",

number = "2",

}

TY - JOUR

T1 - A Variable-Rate Loan-Prepayment Model for Australian Mortgages

AU - Daniel, John

PY - 2008/12

Y1 - 2008/12

N2 - 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.

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

UR - https://www.scopus.com/pages/publications/66649107484

U2 - 10.1177/031289620803300204

DO - 10.1177/031289620803300204

M3 - Article

SN - 0312-8962

VL - 33

SP - 277

EP - 305

JO - Australian Journal of Management

JF - Australian Journal of Management

IS - 2

ER -

A Variable-Rate Loan-Prepayment Model for Australian Mortgages

Abstract

Access to Document

Other files and links

Fingerprint

Cite this