Pricing Mortgage-Backed Securities in aMultifactor Interest Rate Environment : A Multivariate Density Estimation

@inproceedings{ApproachJacob1996PricingMS,
  title={Pricing Mortgage-Backed Securities in aMultifactor Interest Rate Environment : A Multivariate Density Estimation},
  author={ApproachJacob and Boudoukha and Matthew and Richardsona and Richard and Stantonband and F. Robert and Whitelawa},
  year={1996}
}
  • ApproachJacob, Boudoukha, +5 authors Whitelawa
  • Published 1996
This paper uses multivariate density estimation (MDE) procedures to investigate the pricing of mortgage-backed securities (MBS) in a multifactor interest rate environment. The MDE estimation suggests that weekly MBS prices from January 1987 to May 1994 can be well described as a function of the level and slope of the term structure. We analyze how this function varies across MBSs with different coupons and investigate the sensitivity of prices to the two factors. An important finding is that… CONTINUE READING
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