no code implementations • 16 Nov 2022 • Jackson P. Lautier, Vladimir Pozdnyakov, Jun Yan
Loan seasoning and inefficient consumer interest rate refinance behavior are well-known for mortgages.
no code implementations • 13 Jan 2022 • Jackson P. Lautier, Vladimir Pozdnyakov, Jun Yan
In an application to a subset of 29, 845 36-month leases from the Mercedes-Benz Auto Lease Trust 2017-A (MBALT 2017-A) bond, our pricing model yields estimates closer to the actual realized future cash flows than the non-random time-to-event model, especially as the fitting window increases.