Modeling Prepayments and Defaults in Mortgage
<-- Return to the list
Date: 09-25-2006
Start Time:
6:00pm
End Time: 7:30pm
Speaker: Lakhbir Hayre, Citigroup
Location: 412 Schapiro CEPSR, Davis Auditorium
Abstract
We discuss some of the issues and challenges in developing models to describe the prepayment and default behavior of mortgages and resulting implications for the valuation of mortgage-backed securities.
Bio
Lakhbir Hayre is head of quantitative fixed-income research at Citigroup in NYC. His modeling work has focused on mortgage-backed securities. Prior to joining Salomon Brothers in the mid-1980s, he was a professor of statistics at the Wharton School of the University of Pennsylvania. He holds a D.Phil in Mathematics from the University of Oxford.