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Quantitative Finance · Glosarium

Apa itu Prepayment model?

Definition 12.1 Rates, Credit, XVA and Risk · Bab 12 — Mortgage Modelling

A prepayment model gives the conditional prepayment rate of a pool each month as a function of the pool’s characteristics (age, rate, loan size) and of the rate environment on the path; it is estimated on historical loan-level data and run path by path in valuation.

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