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Prepayment Risk Neutrality: The Concept of prOAS

Andrew Davidson and Alexander Levin

in Mortgage Valuation Models: Embedded Options, Risk, and Uncertainty

Published in print:
2014
Published Online:
August 2014
ISBN:
9780199998166
eISBN:
9780199363698
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199998166.003.0012
Subject:
Economics and Finance, Financial Economics

This chapter offers a theory that explains the origin of OAS. Observing that OAS levels differ across agency MBS types, the chapter concludes that prepayment model risk plays a fundamental role in ... More


Agency Pool Prepayment Models

Andrew Davidson and Alexander Levin

in Mortgage Valuation Models: Embedded Options, Risk, and Uncertainty

Published in print:
2014
Published Online:
August 2014
ISBN:
9780199998166
eISBN:
9780199363698
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199998166.003.0008
Subject:
Economics and Finance, Financial Economics

The goal of prepayment modeling is to estimate the probability of loan termination using information about the loan, the borrower, the collateral, and the economic conditions. This chapter focuses ... More


Separating the wheat from the chaff: Incentives Generated by Executives’ Career Concerns

Graeme Guthrie

in The Firm Divided: Manager-Shareholder Conflict and the Fight for Control of the Modern Corporation

Published in print:
2017
Published Online:
May 2017
ISBN:
9780190641184
eISBN:
9780190641214
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190641184.003.0007
Subject:
Economics and Finance, Financial Economics

Past pay generates incentives via the ownership stake that it creates; present pay generates incentives via the link between firm performance and the level of pay; future pay generates incentives via ... More


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