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Presentation . 2022
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Other literature type . 2022
License: CC BY
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ZENODO
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License: CC BY
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Mortgage Commitment Model

descriptionPublicationkeyboard_double_arrow_right Presentation , Other literature type 13 May 2022 English Publisher:Zenodo
Authors: Lee, David;

doi: 10.5281/zenodo.6547376 , 10.5281/zenodo.6547375

Mortgage Commitment Model

Abstract

The mortgage Commitment model is being used to measure the risk of mortgage commitments. The model is actually based on a two-step process, and in the end allows investor to hedge the inherent interest rate risk imbedded in these mortgage commitments In the first stage, the actual mortgage commitment pipeline is “mapped” to a simplified portfolio of European swaptions. In the second stage, this simplified portfolio of swaptions is used to determine an appropriate portfolio of swaps to hedge the swaptions.

https://osf.io/preprints/inarxiv/zxk7w/download

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Mortgage Commitment Model

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selected citations
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This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
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