Snapshots of Risk-Neutral Prepayment Model: Twenty Years Later

Quickly apply original, key PMR-published papers with Snapshots—a short article companion that distills PMR research into compressed, digestible takeaways, so you can put the paper’s core ideas to work in your investment process—fast. This Snapshot article is based on research arguing that risk-neutral prepayment modeling incorporates the market price of prepayment model uncertainty into mortgage-backed securities (MBS) and other mortgage-related assets, producing valuation and duration measures that better approximate market prices and empirical interest-rate sensitivity than conventional option-adjusted spread (OAS) measures.