Hi, I'm a 4th year undergrad currently trying to formulate a project on mortgage backed securities.
I'm hoping to use multiple areas of math/data science to formulate an amateur prepayment model.
Based on my little knowledge,
1) Interest Rate Model; Probably going to be a simple 1-factor CIR. I don't think I'm ready for more complicated models. Planning to read out of Brigo's book,
2) Prepayment Model; This is where the problem is. I can't find a large amount amount of relevant data to construct a data-driven prepayment model. Bloomberg only can break it down into geographical regions, which is a very small amount of data; thus one can't run regressions, kernel analysis, and other data science tools. Can anyone suggest other ways to source relevant data?
Any advice would be highly appreciated and feel free to correct me. Thank you.
I'm hoping to use multiple areas of math/data science to formulate an amateur prepayment model.
Based on my little knowledge,
1) Interest Rate Model; Probably going to be a simple 1-factor CIR. I don't think I'm ready for more complicated models. Planning to read out of Brigo's book,
2) Prepayment Model; This is where the problem is. I can't find a large amount amount of relevant data to construct a data-driven prepayment model. Bloomberg only can break it down into geographical regions, which is a very small amount of data; thus one can't run regressions, kernel analysis, and other data science tools. Can anyone suggest other ways to source relevant data?
Any advice would be highly appreciated and feel free to correct me. Thank you.