Additional Market Risk Shocks: Prepayment Uncertainty and Option-Adjusted Spreads
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DOI: 10.3905/jfi.2016.26.2.005
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More about this item
Keywords
prepayment; option-adjusted spreads; financial stress testing; capital standards; mortgage; risk management;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-NET-2016-06-25 (Network Economics)
- NEP-RMG-2016-06-25 (Risk Management)
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