RT Journal Article SR Electronic T1 Structural Default Modeling: A Hybrid Based Approach JF The Journal of Fixed Income FD Institutional Investor Journals SP 33 OP 49 DO 10.3905/jfi.2014.23.4.033 VO 23 IS 4 A1 George M. Jabbour A1 Shujun (Ken) Yu A1 Marat V. Kramin A1 Stephen D. Young YR 2014 UL https://pm-research.com/content/23/4/33.abstract AB This article discusses the use of mortgage-backed securities and fixed-income derivatives analytics in order to model agency mortgage real estate investment trust (REIT) holdings in more detail than standard equity market practice. The author shows that book value projections derived from a full bottom-up modeling approach are quite accurate. He also computes such metrics as duration, convexity, and basis risk of mortgage REITs, and suggests hedging strategies. Finally the author explores performance attribution and how to fundamentally explain the large yields observed on these stocks.TOPICS: Fixed income and structured finance, fixed-income portfolio management, portfolio theory