메뉴 건너뛰기




Volumn 19, Issue 1, 1999, Pages 49-67

Anatomy of an ARM: The Interest-Rate Risk of Adjustable-Rate Mortgages

Author keywords

Index; Mortgage; Prepayment; Valuation

Indexed keywords


EID: 0033437312     PISSN: 08955638     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1007731313458     Document Type: Article
Times cited : (22)

References (22)
  • 2
    • 0031514514 scopus 로고    scopus 로고
    • Pricing Mortgage-Backed Securities in a Multifactor Interest-Rate Environment: A Multifactor Density Estimation Approach
    • Boudoukh, Jacob, Matthew Richardson, Richard Stanton, and Robert F. Whitelaw. (1997). "Pricing Mortgage-Backed Securities in a Multifactor Interest-Rate Environment: A Multifactor Density Estimation Approach," Review of Financial Studies 10(2), 405-446.
    • (1997) Review of Financial Studies , vol.10 , Issue.2 , pp. 405-446
    • Boudoukh, J.1    Richardson, M.2    Stanton, R.3    Whitelaw, R.F.4
  • 3
    • 84958839520 scopus 로고
    • A Simple Test for Heteroskedasticity and Random Coefficient Variation
    • Breusch, T. S., and A. R. Pagan. (1979). "A Simple Test for Heteroskedasticity and Random Coefficient Variation," Econometrica 47, 1287-1294.
    • (1979) Econometrica , vol.47 , pp. 1287-1294
    • Breusch, T.S.1    Pagan, A.R.2
  • 4
    • 0041565144 scopus 로고
    • Forecasting the Eleventh District Cost of Funds
    • Cornell, B. (1987). "Forecasting the Eleventh District Cost of Funds," Housing Finance Review 6, 123-135.
    • (1987) Housing Finance Review , vol.6 , pp. 123-135
    • Cornell, B.1
  • 5
    • 0001205798 scopus 로고
    • A Theory of the Term Structure of Interest Rates
    • Cox, John C., Jonathan E. Ingersoll, Jr., and Stephen A. Ross. (1985). "A Theory of the Term Structure of Interest Rates," Econometrica 53(2), 385-407.
    • (1985) Econometrica , vol.53 , Issue.2 , pp. 385-407
    • Cox, J.C.1    Ingersoll J.E., Jr.2    Ross, S.A.3
  • 7
    • 85036258669 scopus 로고
    • Distribution of the Estimators for Autoregressive Time Series with a Unit Root
    • Dickey, D. A., and W. A. Fuller. (1979). "Distribution of the Estimators for Autoregressive Time Series with a Unit Root," Journal of the American Statistical Society 74, 427-431.
    • (1979) Journal of the American Statistical Society , vol.74 , pp. 427-431
    • Dickey, D.A.1    Fuller, W.A.2
  • 9
    • 0041565176 scopus 로고
    • Eleventh District Cost of Funds Index Composition and Modeling
    • Hayre, L. S., V. Lodato, and E. Mustafa. (1991). "Eleventh District Cost of Funds Index Composition and Modeling," Journal of Fixed Income 3, 38-44.
    • (1991) Journal of Fixed Income , vol.3 , pp. 38-44
    • Hayre, L.S.1    Lodato, V.2    Mustafa, E.3
  • 10
    • 0039544386 scopus 로고
    • The Valuation and Analysis of Adjustable Rate Mortgages
    • Kau, James B., Donald C. Keenan, Walter J. Muller III, and James F. Epperson. (1990). "The Valuation and Analysis of Adjustable Rate Mortgages," Management Science 36, 1417-1431.
    • (1990) Management Science , vol.36 , pp. 1417-1431
    • Kau, J.B.1    Keenan, D.C.2    Muller W.J. III3    Epperson, J.F.4
  • 12
    • 0043068068 scopus 로고
    • Valuation and Analysis of Collateralized Mortgage Obligations
    • McConnell, John J., and Manoj K. Singh. (1993). "Valuation and Analysis of Collateralized Mortgage Obligations," Management Science 39(6), 692-709.
    • (1993) Management Science , vol.39 , Issue.6 , pp. 692-709
    • McConnell, J.J.1    Singh, M.K.2
  • 14
    • 0000706085 scopus 로고
    • A Simple, Positive Definite Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
    • Newey, Whitney K., and Kenneth D. West. (1987). "A Simple, Positive Definite Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica 55, 703-708.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.K.1    West, K.D.2
  • 15
    • 0038951690 scopus 로고
    • COFI ARMs: Seeing into the Future
    • Nothaft, F. E. (1990). "COFI ARMs: Seeing into the Future," Mortgage Banking 50, 43-47.
    • (1990) Mortgage Banking , vol.50 , pp. 43-47
    • Nothaft, F.E.1
  • 16
    • 84984059598 scopus 로고
    • Seasonal Variations in Cost-of-Funds at Thrift Institutions
    • Nothaft, F. E., and G. H. K. Wang. (1992). "Seasonal Variations in Cost-of-Funds at Thrift Institutions," AREUEA Journal 20, 573-582.
    • (1992) AREUEA Journal , vol.20 , pp. 573-582
    • Nothaft, F.E.1    Wang, G.H.K.2
  • 17
    • 0001669312 scopus 로고
    • The Duration of an Adjustable-Rate Mortgage and the Impact of the Index
    • Ott, R. A. (1986). "The Duration of an Adjustable-Rate Mortgage and the Impact of the Index," Journal of Finance 41, 923-933.
    • (1986) Journal of Finance , vol.41 , pp. 923-933
    • Ott, R.A.1
  • 18
    • 0043068030 scopus 로고
    • Econometric Models of the Eleventh District Cost of Funds Index
    • Passmore, S. W. (1993). "Econometric Models of the Eleventh District Cost of Funds Index," Journal of Real Estate Finance and Economics 6, 175-188.
    • (1993) Journal of Real Estate Finance and Economics , vol.6 , pp. 175-188
    • Passmore, S.W.1
  • 20
    • 0041565146 scopus 로고
    • Adjustable Rate Mortgages: The Indexes
    • Roll, R. (1987). "Adjustable Rate Mortgages: The Indexes," Housing Finance Review 6, 137-152.
    • (1987) Housing Finance Review , vol.6 , pp. 137-152
    • Roll, R.1
  • 21
    • 0042567272 scopus 로고
    • Caps on Adjustable Rate Mortgages: Valuation, Insurance and Hedging
    • R. G. Hubbard, ed. Chicago: University of Chicago Press
    • Schwartz, Eduardo S., and Walter N. Torous. (1991). "Caps on Adjustable Rate Mortgages: Valuation, Insurance and Hedging," In R. G. Hubbard, ed., Financial Markets and Financial Crisis. Chicago: University of Chicago Press.
    • (1991) Financial Markets and Financial Crisis
    • Schwartz, E.S.1    Torous, W.N.2
  • 22
    • 84977310950 scopus 로고
    • ARM Wrestling: Valuing Adjustable Mortgages Indexed to the Eleventh District Cost of Funds
    • Stanton, Richard H., and Nancy Wallace. (1995). "ARM Wrestling: Valuing Adjustable Mortgages Indexed to the Eleventh District Cost of Funds," Real Estate Economics 23(3), 311-345.
    • (1995) Real Estate Economics , vol.23 , Issue.3 , pp. 311-345
    • Stanton, R.H.1    Wallace, N.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.