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A fixed-rate loan prepayment model for Australian mortgages

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Date

2010

Authors

Daniel, John

Journal Title

Journal ISSN

Volume Title

Publisher

University of New South Wales

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.

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Citation

URI

http://hdl.handle.net/1885/61814

Collections

Open Access Research

Source

Australian Journal of Management

Type

Journal article

Book Title

Entity type

Access Statement

License Rights

DOI

10.1177/0312896209358261

Restricted until

2037-12-31

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01_Daniel_A_fixed-rate_loan_prepayment_2010.pdf (401.24 KB)

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