Interest rate risk of mortgage servicing rights
Dick Boswinkel and Kent Westerbeck examine the behaviour of mortgage servicing rights' duration and convexity and explain how they relate to the prepayment assumptions used in valuing MSRs
Mortgage servicing rights (MSRs) are created when a mortgage loan is pooled with similar mortgage loans to form a security and that security is sold. The entity that communicates with the mortgage borrower, and collects and distributes principal and interest payments is referred to as the mortgage servicer. The servicer is responsible for collecting funds from the borrower and dispersing them to
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