Brett Dunn

University of California, Los Angeles (UCLA)

405 Hilgard Avenue

Box 951361

Los Angeles, CA 90095

United States

  • University of California, Los Angeles (UCLA)

SCHOLARLY PAPERS

2

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353

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Top 19,669

in Total Papers Citations

32

CROSSREF CITATIONS

38

Scholarly Papers (2)

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1.

Funding Liquidity and the Valuation of Mortgage-Backed Securities

Number of pages: 77 Posted: 29 Mar 2021 Last Revised: 28 Sep 2022
Brett Dunn, Mahyar Kargar and Geoffery Zheng
University of California, Los Angeles (UCLA), University of Illinois at Urbana-Champaign and New York University (NYU) - New York University (NYU), Shanghai
Downloads 268 (221,178)
Citation 15

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Mortgage-backed securities, funding liquidity, affine models, prepayment function, TBA contracts, dollar rolls

2.

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

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

NBER Working Paper No. w22096
Number of pages: 60 Posted: 21 Mar 2016 Last Revised: 18 May 2023
Mikhail Chernov, Brett Dunn and Francis A. Longstaff
UCLA Anderson, University of California, Los Angeles (UCLA) and University of California, Los Angeles (UCLA) - Finance Area
Downloads 85 (573,100)
Citation 18

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

CEPR Discussion Paper No. DP10947
Posted: 18 Apr 2016
Mikhail Chernov, Brett Dunn and Francis A. Longstaff
UCLA Anderson, University of California, Los Angeles (UCLA) and University of California, Los Angeles (UCLA) - Finance Area

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Affine models, mortgage-backed securities, prepayment function