Hedging Prepayment Risk on Retail Mortgages
作者： Dirk Veldhuizen
DOI:
关键词: Diffi cult 、 Normal interest 、 Prepayment of loan 、 Portfolio 、 Embedded option 、 Rate risk 、 Business 、 Finance 、 Interest rate risk
摘要: Hedging the interest rate risk of a retail mortgage portfolio is diffi cult task for banks. Besides normal risk, there caused by embedded options i.e. choices incorporated in contract. In regular Dutch mortgages, customer receives several options. One these option to prepay without incurring additional costs case moves new home. this article we explain why when option. If does not use option, he will continue current We also discuss how resulting can be hedged and determine hedging price. However let us fi rst mortgage’s nancing. Prepayment Risk on Retail Mortgages
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