This article investigates the effects of mortgage-backed security (MBS) hedging activity on
interest rate volatility and proposes a model that takes these effects into account. An …

The 10-year Treasury rate has long been considered the primary determinant of 30-year
mortgage interest rates. The contemporaneous 10-year LIBOR swap rate is shown to better …

Asset-backed securitization (ABS) is a highly flexible yet complex refinancing technique that
involves the issuance of contingent claims with varying seniority on the cash flow …

Ziel dieser Präsentation (anlässlich des Seminars „Die Auswirkungen von Asset
Securitisation auf die Stabilität des Finanzmarktes “Österreichische Nationalbank (ÖNB) …

London Interbank Offer Rate (LIBOR) is the most widely-established base interest rate in
today's global economy. It is purely market driven, and it moves in response to changes in …

Asset-backed securitisation (ABS) is an asset funding technique that involves the issuance
of structured claims on the cash flow performance of a designated pool of underlying …

Asset-backed securitization (ABS) is a highly flexible yet complex refinancing technique that
involves the issuance of contingent claims with varying seniority and maturity on the cash …

In this paper we aim to establish an intrinsic connection between asset securitisation and
financial market stability in the light of altered financial intermediation. After a brief …