Study of applied stochastic model for prepayment mortgage-backed securities

日本住房金融厅收集了许多住房贷款，并发行了抵押贷款支持证券。当房贷债务人逾期行使还款时，金融机构发生计划外营运资金。在本研究中，我们将累积损失模型应用于房贷债务人在还款期限前的还款发生过程，并假设还款发生在期限前是时间的一个函数，并通过随机过程模型进行分析。特别地，我们计算了阈值能级分布函数为常数和非增函数时的数值例子。我们出版了关于我们研究的书籍和期刊。

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.