Tomoaki Shouda

Independent

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Scholarly Papers (1)

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Analyses of Mortgage-Backed Securities Based on Unobservable Prepayment Cost Processes

Asia-Pacific Financial Markets, Vol. 11, No. 3, pp. 233-266, 2006
Posted: 24 Dec 2010 Last Revised: 11 Jan 2018
Hidetoshi Nakagawa and Tomoaki Shouda
Hitotsubashi University Business School and Independent

Abstract:

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mortgage-backed securities (MBS), prepayment cost, loan pool risk, structural approach with incomplete information, asymptotic arbitrage-free condition