DRIVERS OF PREPAYMENT IN FIXED-RATA MORTGAGES
This collaboration project between IBiDat and Santander Corporación aims at developing a methodology for identifying the most relevant variables that explain the cross-section and time series dynamics of prepayment in fixed-rate mortgages in different European countries. For that purpose, we gathered data from the European Data Warehouse (EDW) database that provides dozens of candidate variables that can be used to understand prepayment behavior. IBiDat developed a methodology for, first, identity which variables could be finally used in the modelization phase, and, later, proposed a methodology for simulating prepayment behavior under different scenarios regarding the selected variables.
Contract holder: Santander Corporación
Amount: 70,000 EUR
Performance term: November 2020 – March 2021