quot;Limits of Arbitragequot; theories hypothesize that the marginal investor in a particular asset market is a specialized arbitrageur rather than a diversified representative investor. We examine the mortgage-backed securities (MBS) market in this light. We show that the risk of homeowner...

"Limits of Arbitrage" theories hypothesize that the marginal investor in a particular asset market is a specialized arbitrageur rather than a diversified representative investor. We examine the mortgage-backed securities (MBS) market in this light. We show that the risk of homeowner prepayment,...

"Limits of Arbitrage" theories hypothesize that the marginal investor in a particular asset market is a specialized arbitrageur rather than a diversified representative investor. We examine the mortgage-backed securities (MBS) market in this light. We show that the risk of homeowner prepayment,...

``Limits of Arbitrage" theories require that the marginal investor in a particular asset market be a specialized arbitrageur. Then the constraints faced by this arbitrageur (i.e. capital constraints) feed through into asset prices. We examine the mortgage-backed securities (MBS) market in this...

We consider the pricing of European structured products under a 'static' framework, particularly the Gaussian copula model (GCM). Being hedged continuously against individual spread moves with single name Credit Default Swaps, we calculate the associated replication errors. Therefore, we...

Cover; Title Page; Copyright; Contents; List of Figures; List of Tables; Foreword; Preface; Part One Lessons Learned in 10 Years of Practice; Chapter 1 Creation of the Method; 1.1 From Artificial Intelligence to Risk Modelling; 1.2 Model Losses or Risks?; Chapter 2 Introduction to the XOI Method; 2.1 A...