Brett Dunn

University of California, Los Angeles (UCLA)

405 Hilgard Avenue

Box 951361

Los Angeles, CA 90095

United States

SCHOLARLY PAPERS

1

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24

SSRN CITATIONS
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Top 20,981

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5

CROSSREF CITATIONS

38

Scholarly Papers (1)

Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities

NBER Working Paper No. w22096
Number of pages: 60 Posted: 21 Mar 2016
UCLA Anderson, University of California, Los Angeles (UCLA) and University of California, Los Angeles (UCLA) - Finance Area
Downloads 24 (558,657)
Citation 5

Abstract:

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Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities

CEPR Discussion Paper No. DP10947
Posted: 18 Apr 2016
UCLA Anderson, University of California, Los Angeles (UCLA) and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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Affine models, mortgage-backed securities, prepayment function