18. Modeling Mortgage Prepayments and Valuing Mortgages

18. Modeling Mortgage Prepayments and Valuing Mortgages. Mortgage Valuation Experts

18. Modeling Mortgage Prepayments and Valuing Mortgages video duration 1 Hour(s) 12 Minute(s) 6 Second(s), published by YaleCourses on 02 04 2011 - 10:54:52.

Financial Theory (ECON 251) A mortgage involves making a promise, backing it with collateral, and defining a way to dissolve the promise at prearranged terms For more information please visit https://www.arnoldandbaldwin.co.uk or call us on 02086422999.

For more information please visit https://www.arnoldandbaldwin.co.uk or call us on 02086422999 Tuki Sande, Case Manager at Habito, talks about the different types of valuations you might get on your prospective home
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Financial Theory (ECON 251) \r
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A mortgage involves making a promise, backing it with collateral, and defining a way to dissolve the promise at prearranged terms in case you want to end it by prepaying. The option to prepay, the refinancing option, makes the mortgage much more complicated than a coupon bond, and therefore something that a hedge fund could make money trading. In this lecture we discuss how to build and calibrate a model to forecast prepayments in order to value mortgages. Old fashioned economists still make non-contingent forecasts, like the recent predictions that unemployment would peak at 8%. A model makes contingent forecasts. The old prepayment models fit a curve to historical data estimating how sensitive aggregate prepayments have been to changes in the interest rate. The modern agent based approach to modeling rationalizes behavior at the individual level and allows heterogeneity among individual types. From either kind of model we see that mortgages are very risky securities, even in the absence of default. This raises the question of how investors and banks should hedge them.\r
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00:00 - Chapter 1. Review of Mortgages\r
03:20 - Chapter 2. Complications of Refinancing Mortgages\r
19:26 - Chapter 3. Non-contingent Forecasts of Mortgage Value\r
28:40 - Chapter 4. The Modern Behavior Rationalizing Model of Mortgage Value\r
54:07 - Chapter 5. Risk in Mortgages and Hedging\r
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Complete course materials are available at the Open Yale Courses website: http://open.yale.edu/courses\r
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This course was recorded in Fall 2009.