Modeling Mortgage Backs

Overview


A mortgage back security is a type of structured security consisting entirely of mortgages. Modeling a mortgage back is therefore very similar to modeling any other type of structured seucrity, including forecasting the cash flows of a structured security.

In the United States, mortgages are pre-payable, and this becomes one of the primary factors that needs to be modelled, which may not be present on other structured securities.

Modeling


  • Loan Level Modeling