Prediction model of mortgage prepayment risk

Due to the change in bank´s attitudes towards mortgage prepayment risk, as well as increasing valuation needs for the mortgage-backed securities, the prediction on individual mortgage prepayment behavior is becoming more and more indispensable. This paper analyzes the main factors influencing Chinese mortgage-loan prepayment from a modeling perspective. Based on unexpected events, sale, inheritance and other investment income, a prepayment prediction model was established to assist commercial banks in managing the individual mortgage effectively, and to hasten the development of Chinese mortgage-backed securities.