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Behavioral Modeling for Prepayment of Term Loans

November 29, 2017

Various banking regulators, including the Basel Committee on Banking Supervision, require banks to factor prepayments for assessment of liquidity risk and interest rate risk in banking book. Anirban Naskar and Arunima Banerjee examine changes in prepayment trends since the last financial crisis and explore alternative prepayment modelling methodologies.

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