Comparison of Fractional Model and Two Part Model for the Mortgage Risk Behaviours of Prepayment Assessment

Hsin Hung Chen; Cheng Chung Wu

doi:10.4028/www.scientific.net/AMR.488-489.1248

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HomeAdvanced Materials ResearchAdvanced Materials Research Vols. 488-489Comparison of Fractional Model and Two Part Model...

Comparison of Fractional Model and Two Part Model for the Mortgage Risk Behaviours of Prepayment Assessment

Abstract:

This paper has debated between fractional and two part models in the context of prepayment behaviour, applications where a large proportion of zero observations are typically found. The predictive capacity in this paper is to provider the direction of consideration and very good fit result to the behaviours of prepayment for bank. From the perspective of practitioners, it could point of view the characteristics of borrowers of each variable would seem to be choosing in this paper. This paper also provides the simply looking at the extent to which policy decision of bank conclusions would differ depending upon the characteristics of customers’ behaviour consideration.

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Periodical:

Advanced Materials Research (Volumes 488-489)

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1248-1251

DOI:

https://doi.org/10.4028/www.scientific.net/AMR.488-489.1248

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Online since:

March 2012

Authors:

Hsin Hung Chen, Cheng Chung Wu

Keywords:

Mortgage, Prepayment, Risk

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