Prepayment Model
THC Prepayment model is a residential mortgage loan valuation model that incorporates both prepayment and default risks. The model is developed to be consistent with the market arbitrage-free conditions such that the model analysis can be used for capital market actions, such as derivative hedging and trading. It values the many mortgage loan types in a consistent framework so that the model can be used for relative valuation, product profitability analysis, asset-liability management, credit risk and market risk management.