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- W3125981334 abstract "We consider the problem of identifying current coupons for Agency backed To-be-Announced (TBA) Mortgage Backed Securities. In a doubly stochastic factor based model which allows for prepayment intensities to depend upon current and origination mortgage rates, as well as underlying investment factors, we identify the current coupon with solutions to a degenerate elliptic, non-linear fixed point problem. Using Schaefer's theorem we prove existence of current coupons. We also provide an explicit approximation to the fixed point, valid for compact perturbations off a baseline factor-based intensity model. Numerical examples are provided which show the approximation performs remarkably well in estimating the current coupon." @default.
- W3125981334 created "2021-02-01" @default.
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- W3125981334 date "2015-10-01" @default.
- W3125981334 modified "2023-09-27" @default.
- W3125981334 title "Endogenous Current Coupons" @default.
- W3125981334 hasPublicationYear "2015" @default.
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