不動産担保証券の繰り上げ返済、債務不履行リスク

最近UCLAビジネススクールのSchwartzとTorousの論文に目を通しています。The central theme of this paper is to relate prepayment and default probability for sets of mortgages to region, quarter of the year, housing index, loan-to-value, and refinancing rate. The authors propose "pi" and "delta", which are intensities, and use these intensities to compute Poisson distributions for k prepayments or defaults.