Pricing mortgage-backed securities in a multifactor interest rate environment: A multivariate density estimation approach
J Boudoukh, RF Whitelaw… - The Review of …, 1997 - academic.oup.com
Multivariate density estimation (MDE) suggests that mortgage-backed security (MBS) prices
can be well described as a function of the level and slope of the term structure. We analyze …
can be well described as a function of the level and slope of the term structure. We analyze …
[BOOK][B] Interest rate dynamics, derivatives pricing, and risk management
L Chen - 2012 - books.google.com
There are two types of tenn structure models in the literature: the equilibrium models and the
no-arbitrage models. And there are, correspondingly, two types of interest rate derivatives …
no-arbitrage models. And there are, correspondingly, two types of interest rate derivatives …
[BOOK][B] Financial innovation in the banking industry: the case of asset securitization
L Obay - 2014 - api.taylorfrancis.com
Untitled Page 1 Page 2 GARLAND STUDIES ON THE FINANCIAL SECTOR OF THE
AMERICAN ECONOMY edited by STUART BRUCHEY ALLAN NEVINS PROFESSOR …
AMERICAN ECONOMY edited by STUART BRUCHEY ALLAN NEVINS PROFESSOR …
[BOOK][B] Financial pricing models in continuous time and Kalman filtering
BP Kellerhals - 2013 - books.google.com
Straight after its invention in the early sixties, the Kalman filter approach became part of the
astronautical guidance system of the Apollo project and therefore received immediate …
astronautical guidance system of the Apollo project and therefore received immediate …
Predatory lending: What does Wall Street have to do with it?
In this article, we examine the contention that the secondary market will exert sufficient
market discipline to drive predatory home loan lenders from the subprime marketplace …
market discipline to drive predatory home loan lenders from the subprime marketplace …
[BOOK][B] Inside the Yield Book: The Classic That Created the Science of Bond Analysis
ML Leibowitz, S Homer, S Kogelman - 2013 - books.google.com
A completely updated edition of the guide to modern bond analysis First published in 1972,
Inside the Yield Book revolutionized the fixed-income industry and forever altered the way …
Inside the Yield Book revolutionized the fixed-income industry and forever altered the way …
A note on common interest rate risk measures
GW Buetow Jr, FJ Fabozzi… - The Journal of Fixed …, 2003 - search.proquest.com
Portfolio managers, traders, and risk managers need measures to quantify exposure to
changes in interest rates. Two measures beyond duration that take into account interest rate …
changes in interest rates. Two measures beyond duration that take into account interest rate …
Parameter Stability and the Valuation of Mortgages and Mortgage‐Backed Securities
The recent financial crisis was triggered by large and unexpected losses on mortgages and
mortgage‐related securities. Here we examine model risk arising from innovations in …
mortgage‐related securities. Here we examine model risk arising from innovations in …
[BOOK][B] Stochastic horizon analysis for hedging future commercial mortgage backed securities issuance
J Qian - 1998 - search.proquest.com
A Treasury yield curve shift of 50 basis points can easily move the market value of a $300
million mortgage loan portfolio up or down several million dollars. In order to protect the …
million mortgage loan portfolio up or down several million dollars. In order to protect the …
[PDF][PDF] Effects of Valuation Model on RMBS Investment
H Kasari, A Kaji, J Kataoka - 2005 - Citeseer
Residential mortgage-backed Housing Loan Corporation securities (RMBS) carry a
conditional prepayment option which straight bonds do not. Therefore, investors need some …
conditional prepayment option which straight bonds do not. Therefore, investors need some …