Study of applied stochastic model for prepayment mortgage-backed securities

提前还款抵押贷款支持证券应用随机模型研究

• 批准号: 21530318
• 负责人: NAKAMURA Syouji
• 金额: $ 1.75万
• 依托单位: Kinjo Gakuin University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 2009
• 资助国家: 日本
• 起止时间: 2009 至 2011
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-21530318/
• 关键词: ファイナンス; 確率過程; 信頼性理論; 住宅ローン; 期限前償還; 確率モデル; 最適方策; FSCM

The Japan Housing Finance Agency gathers many home loans and issues mortgage-backed securities. When the debtor of the home loan exercises repayment before time limit, an unplanned operative fund occurs in the financial institution. In this study, we apply the cumulative damage model to the repayment occurrence process before time limit repayment of the debtor of the home loan and analysis by the stochastic process model that assumed repayment outbreak before time limit a function of the time. In particular, we computed the numerical example when the threshold level distribution function is a constant and a non-increasing. We published the books and journals on our research.

日本住房金融厅收集了许多住房贷款，并发行抵押贷款支持证券。当住房贷款债务人提前还款时，金融机构会产生一笔计划外的营运资金。本研究将累积伤害模型应用于住房贷款债务人限期前还款的发生过程，并假设限期前还款爆发为时间函数的随机过程模型进行分析。特别地，我们计算了阈值水平分布函数为常数和非递增时的数值例子。我们出版了关于我们研究的书籍和期刊。

项目成果

Studies on Tenuring Collection Times for a Generational Garbage Collector

• 发表时间: 2011
• 作者: Xufeng Zhao;C. Qian;S. Nakamura

Optimal Policies for Random and Periodic Garbage Collections with Teniring Threshold

具有 Teniring 阈值的随机和定期垃圾收集的最优策略

• 发表时间: 2010
• 期刊: Computer and Information Science
• 作者: Xufeng Ahao;Syouji Nakamura;Toshio Nakagawa
• 通讯作者: Toshio Nakagawa

Extended Maintenance and Inspection Models for a Parallel System

并行系统的扩展维护和检查模型

• 发表时间: 2009
• 作者: Satoshi Mizutani;Toshio Nakagawa;Mingchih Chen
• 通讯作者: Mingchih Chen

Modified Random Inspection Policies

修改后的随机检查政策

• 发表时间: 2009
• 作者: 中川覃夫;水谷聡
• 通讯作者: 水谷聡

RANDOM AND AGE REPLACEMENT POLICIES

• DOI: 10.1142/s0218539310003652
• 发表时间: 2010-02
• 期刊: International Journal of Reliability, Quality and Safety Engineering
• 作者: Mingchih Chen;S. Mizutani;T. Nakagawa