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Published May 14, 2022 | Version v1
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Mortgage Model

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Description

Mortgage model is used to calculate the risk profile of various interest rate risk sensitive instruments, such as fixed rate mortgage and adjustable risk mortgage. The interest rate risk measures depend on the specific characteristics of the instrument (for example, the coupon of a fixed rate mortgage), and these are calculated different for the various instruments assuming an underlying interest rate process together with various valuation models for the instruments.

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https://osf.io/preprints/inarxiv/f6v43/download

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