Prepayment analysis for securitization

M. De Toldi; C. Gourieroux; A. Monfort

doi:10.1016/0927-5398(94)00010-E

Prepayment analysis for securitization

M. De Toldi, C. Gourieroux, A. Monfort

ENSAE

Research output: Contribution to journal › Article › peer-review

Abstract

We introduce a seasonal duration model taking into account both entry and exit seasonal effects. Different estimation methods of this model are considered for the case of stock sampling. This methodology is applied to the study of prepayments of car credits and this allows to derive the probabilistic properties of the cash-flows, associated with securitized car loans.

Original language	English
Pages (from-to)	45-70
Number of pages	26
Journal	Journal of Empirical Finance
Volume	2
Issue number	1
DOIs	https://doi.org/10.1016/0927-5398(94)00010-E
Publication status	Published - 1 Jan 1995
Externally published	Yes

Keywords

Duration models
Prepayments
Seasonal coefficient
Securitization
Stock sampling

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10.1016/0927-5398(94)00010-E

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title = "Prepayment analysis for securitization",

abstract = "We introduce a seasonal duration model taking into account both entry and exit seasonal effects. Different estimation methods of this model are considered for the case of stock sampling. This methodology is applied to the study of prepayments of car credits and this allows to derive the probabilistic properties of the cash-flows, associated with securitized car loans.",

keywords = "Duration models, Prepayments, Seasonal coefficient, Securitization, Stock sampling",

author = "\{De Toldi\}, M. and C. Gourieroux and A. Monfort",

year = "1995",

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doi = "10.1016/0927-5398(94)00010-E",

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AU - De Toldi, M.

AU - Gourieroux, C.

AU - Monfort, A.

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N2 - We introduce a seasonal duration model taking into account both entry and exit seasonal effects. Different estimation methods of this model are considered for the case of stock sampling. This methodology is applied to the study of prepayments of car credits and this allows to derive the probabilistic properties of the cash-flows, associated with securitized car loans.

AB - We introduce a seasonal duration model taking into account both entry and exit seasonal effects. Different estimation methods of this model are considered for the case of stock sampling. This methodology is applied to the study of prepayments of car credits and this allows to derive the probabilistic properties of the cash-flows, associated with securitized car loans.

KW - Duration models

KW - Prepayments

KW - Seasonal coefficient

KW - Securitization

KW - Stock sampling

U2 - 10.1016/0927-5398(94)00010-E

DO - 10.1016/0927-5398(94)00010-E

M3 - Article

AN - SCOPUS:0345898755

SN - 0927-5398

VL - 2

SP - 45

EP - 70

JO - Journal of Empirical Finance

JF - Journal of Empirical Finance

IS - 1

ER -

Prepayment analysis for securitization

Abstract

Keywords

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