Encyclopedia of Financial Models, Volume III

Title Page -- Copyright -- About the Editor -- Contributors -- Preface -- TOPIC CATEGORIES -- Guide to the Encyclopedia of Financial Models -- Organization -- Mortgage-Backed Securities Analysis and Valuation -- Valuing Mortgage-Backed and Asset-Backed Securities -- CASH-FLOW YIELD ANALYSIS -- ZERO-VOLATILITY SPREAD -- VALUATION USING MONTE CARLO SIMULATION AND OAS ANALYSIS -- MEASURING INTEREST RISK -- KEY POINTS -- NOTES -- The Active-Passive Decomposition Model for MBS -- PATH-DEPENDENCE AND PRICING PARTIAL DIFFERENTIAL EQUATION -- EXTENDED ACTIVE-PASSIVE DECOMPOSITION MODEL -- EXTENSIONS AND NUANCES -- KEY POINTS -- NOTES -- Analysis of Nonagency Mortgage-Backed Securities -- FACTORS IMPACTING RETURNS FROM NONAGENCY MBS -- UNDERSTANDING THE EVOLUTION OF CREDIT PERFORMANCE WITHIN A TRANSACTION -- THE PROCESS OF ESTIMATING PRIVATE-LABEL MBS RETURNS -- KEY POINTS -- NOTES -- Measurement of Prepayments for Residential Mortgage-Backed Securities -- PREPAYMENT TERMINOLOGY -- CALCULATING PREPAYMENT SPEEDS -- DELINQUENCY, DEFAULT, AND LOSS TERMINOLOGY -- KEY POINTS -- NOTES -- Prepayments and Factors Influencing the Return of Principal for Residential Mortgage-Backed Securities -- PREPAYMENT FUNDAMENTALS -- FACTORS INFLUENCING PREPAYMENT SPEEDS -- DEFAULTS AND "INVOLUNTARY" PREPAYMENTS -- KEY POINTS -- NOTES -- Operational Risk -- Operational Risk -- Operational Risk Defined -- OPERATIONAL RISK EXPOSURE INDICATORS -- CLASSIFICATION OF OPERATIONAL RISK -- KEY POINTS -- NOTES -- Operational Risk Models -- OPERATIONAL RISK MODELS -- Specifics of Operational Loss Data -- KEY POINTS -- NOTES -- Modeling Operational Loss Distributions -- APPROACHES TO OPERATIONAL RISK MODELING -- NONPARAMETRIC APPROACH: EMPIRICAL DISTRIBUTION FUNCTION -- PARAMETRIC APPROACH: CONTINUOUS LOSS DISTRIBUTIONS -- EXTENSION: MIXTURE LOSS DISTRIBUTIONS