Prepayment models - PowerPoint PPT Presentation

Mortgage Pass-Through Securities

Mortgage Pass-Through Securities. Chapter 11. Pass-Through Securities. created when one or more mortgage holders form a collection (pool) of mortgages and sell shares (participation certificates) in the pool

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Using AFT and FSI Tools to Validate Components of Interest Rate Risk Models

Using AFT and FSI Tools to Validate Components of Interest Rate Risk Models. Agenda. Validation Tests of Prepayment Models Models applicable to securities Models applicable to portfolio loans Validation Tests of Stochastic Rate Generators using FSI Lattice Monte Carlo.

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