2011 Fiscal Year Final Research Report
Study of applied stochastic model for prepayment mortgage-backed securities
| Project/Area Number |
21530318
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Kinjo Gakuin University |
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Principal Investigator |
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| Co-Investigator(Kenkyū-buntansha) |
NAKAGAWA Toshio 愛知工業大学, 経営学部, 教授 (60076544)
KONDO Hitoshi 南山大学, 経済学部, 教授 (60121456)
NAKAYAMA Keiko 中京大学, 経済学部, 教授 (90207944)
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| Project Period (FY) |
2009 – 2011
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| Keywords | ファイナンス / 確率過程 / 信頼性理論 |
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| Research Abstract |
The Japan Housing Finance Agency gathers many home loans and issues mortgage-backed securities. When the debtor of the home loan exercises repayment before time limit, an unplanned operative fund occurs in the financial institution. In this study, we apply the cumulative damage model to the repayment occurrence process before time limit repayment of the debtor of the home loan and analysis by the stochastic process model that assumed repayment outbreak before time limit a function of the time. In particular, we computed the numerical example when the threshold level distribution function is a constant and a non-increasing. We published the books and journals on our research.
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