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Agency MBS Prepayment Model Using Neural Networks

Mortgage-backed securities make up a huge portion of the U.S. financial system. Mortgage prepayment modeling is essential in MBS investment and risk analysis. It is also among the most complex areas of financial modeling, because of the vast data volume and large number of risk factors. Does an AI-based model using neural networks have an advantage over traditional models in taking on the complexities of MBS prepayment risk?


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Research Authors

Research Author

  • David Zhang
  • Joy Zhang - Executive Director, MSCI Research
  • Fei Tend
  • Siyu Lin
  • Henry Li