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dc.contributor.authorClark, Shannon Derik
dc.date.accessioned2014-03-04T18:58:45Z
dc.date.available2014-03-04T18:58:45Z
dc.date.issued2010-12
dc.identifier.otherclark_shannon_d_201012_phd
dc.identifier.urihttp://purl.galileo.usg.edu/uga_etd/clark_shannon_d_201012_phd
dc.identifier.urihttp://hdl.handle.net/10724/26871
dc.description.abstractI unite several forms of mortgage duration literature. I employ a reduced-form model that is doubly stochastic to estimate the parameters of the embedded hazard model. I calibrate the model to actual mortgages in the market while estimating the multiplicative and additive risk parameters.
dc.languageeng
dc.publisheruga
dc.rightspublic
dc.subjectmortgage valuation
dc.subjectdefault
dc.subjectprepayment
dc.titleReduced-form mortgage valuation with stochastic home prices
dc.typeDissertation
dc.description.degreePhD
dc.description.departmentInsurance, Legal Studies and Real Estate
dc.description.majorBusiness Administration
dc.description.advisorJames Kau
dc.description.committeeJames Kau
dc.description.committeeHenry Munneke
dc.description.committeeRichard Martin


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