We study a multiplicative randomized response method for obtaining responses to sensitive
questions when the answers are quantitative. The method involves the respondent …

Presents information on a study which described the use of prepayment models in the
mortgage market. Classification of prepayments; How the modeling framework deals with them …

A sequential procedure is proposed for choosing one of three hypotheses concerning the
difference between the means of two normal populations. It is shown that error probabilities …

The loss severity model, combined with prepayment and default models, can be used to
project loss-adjusted cash flows for mortgage pools and deals. In addition, the loss model can …

… HAYRE is a managing director at (iiti Markets and Banking in New York, NY. lakhbir.s.hayre@citi.c0m …
It is an involved model that is described in detail in Hayre et al. [2008]. …

… Robbins and Siegmund (1974) and Hayre (1979) for known equal … Using the same argument
as in Lemma 2 of Hayre … The proof is similar to those in Hayre (1979, Sec. 5) and is omitted …

Mortgage backed securities (MBS) have embedded options that are dependent on the
primary mortgage rate, since this is what homeowners use to make their exercise decision. In …

We consider the problem of sequentially deciding which of two treatments is superior, A class
of simple approximate sequential tests is proposed. These have the probabilities of correct …

Asymptotically optimal sequential procedures are proposed for fixed width interval and for
point estimation of the log odds ratio for two Bernoulli populations. The costs of observations …

In applications of sequential methods, it is often advantageous from a practical point of view
to sample in bulk, or groups, rather than one at a time. We propose and study two adaptive …