Hi all,
Does anyone know of any books/resources on modeling conditional prepayment rate, constant default rate, and/or loss severity for mortgage or credit? There are many videos on modeling single period or overall probability of default or loss severity but I'm interested in projecting the periodic rates, not just the overall.
Thanks!
Does anyone know of any books/resources on modeling conditional prepayment rate, constant default rate, and/or loss severity for mortgage or credit? There are many videos on modeling single period or overall probability of default or loss severity but I'm interested in projecting the periodic rates, not just the overall.
Thanks!