rtvt123/prepayments

Zero-inflated Poisson model for predicting prepayment rates of Ginnie Mae MBSs

Inflated Poisson Hurdle Model for Ginnie Mae Prepayments

This was a project that never wound up being used by my employer due to lack of headcount availibility in the regional office from which they managed the fund. It made use of freely available Ginnie Mae data, plus some proprietary stuff from Bloomberg. I've not uploaded any data, but a person with access to Bloomberg would be able to recreate all this work. The code to wrangle Ginnie Mae data into usable HDF5 files is worth something on it's own.

The final white paper is available at the root directory as a pdf. You can see my entire process over the course of a couple of months in the doc/ directory, as a collection of Jupyter notebooks.