Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/286175 
Title (translated): 
Credit risk models: Practical application to a mortgage refinancing model
Year of Publication: 
2019
Citation: 
[Journal:] Revista de Métodos Cuantitativos para la Economía y la Empresa [ISSN:] 1886-516X [Volume:] 28 [Year:] 2019 [Pages:] 183-197
Publisher: 
Universidad Pablo de Olavide, Sevilla
Abstract (Translated): 
Facing an hypothetical, but increasingly, case of default risk on a mortgage or a fall in interest rates, an important issue raised by the borrower is the possibility of minimizing that risk by selecting the best refinancing option. In this paper, a mortgage refinancing model is presented, developing a purely quantitative programming method with a simulation based on an algorithm created especially for this case and that can be useful for mortgage debtors. Thus, we begin by explaining the theoretical basis on which the research is based, to proceed to develop the problem, continuing with its implementation. Finally, the results are analyzed and the most relevant conclusions are commented.
Subjects: 
credit risk
dynamic optimization
dynamic programming
interest rate
mortgage refinancing
mortgaged backed securities
Basel III
JEL: 
C02
C61
C63
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-sa Logo
Document Type: 
Article

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