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Macroeconomic-driven prepayment risk and the valuation of mortgage-backed securities
Chernov, Mikhail; Dunn, Brett R.; Longstaff, Francis A. - 2016
Persistent link: https://www.econbiz.de/10011457153
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Macroeocnomic-driven prepayment risk and the valuation of mortage-backed securities
Chernov, Mikhail; Dunn, Brett R.; Longstaff, Francis A. - 2016 - This revision March 2016
Persistent link: https://www.econbiz.de/10011481947
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Macroeconomic-driven prepayment risk and the valuation of mortgage-backed securities
Chernov, Mikhail; Dunn, Brett R.; Longstaff, Francis A. - In: The review of financial studies 31 (2018) 3, pp. 1132-1183
Persistent link: https://www.econbiz.de/10011925304
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Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities
Chernov, Mikhail - 2016
We introduce a reduced-form modeling framework for mortgage-backed securities in which we solve for the implied … actual prepayments, providing direct evidence of significant prepayment risk premia in mortgage-backed security prices. We … risk. We also find evidence that mortgage-backed security prices were significantly affected by Fannie Mae credit risk and …
Persistent link: https://www.econbiz.de/10012456578
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Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities
Chernov, Mikhail - 2016
We introduce a reduced-form modeling framework for mortgage-backed securities in which we solve for the implied … actual prepayments, providing direct evidence of significant prepayment risk premia in mortgage-backed security prices. We … risk. We also find evidence that mortgage-backed security prices were significantly affected by Fannie Mae credit risk and …
Persistent link: https://www.econbiz.de/10012996380
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Application of penalized splines method in the credit market
Yao, Zhilin - 2008
Persistent link: https://www.econbiz.de/10003738379
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The valuation of complex derivatives by major investment firms : empirical evidence
Bernardo, Antonio E. - In: The journal of finance : the journal of the American … 52 (1997) 2, pp. 785-798
Persistent link: https://www.econbiz.de/10001222424
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Determinants of performance for mortgage-backed securities funds
Gallo, John Gregory (contributor) - In: Real estate economics : journal of the American Real … 25 (1997) 4, pp. 657-681
Persistent link: https://www.econbiz.de/10001231101
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The Correlation between the Value of Mortgage-Backed Securities & the Value of FTSE 100 Shares Price Index : September 2013 Prices
Mohamed, Ghada Gomaa A. - 2021
Using the latest information and prices for mortgage-backed securities in September 2013, this analytical piece tests … the value of mortgage-backed securities and the value of the FTSE 100 shares price index …
Persistent link: https://www.econbiz.de/10013239180
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Implied correlations of iTraxx tranches during the financial crisis
Heidorn, Thomas; Kahlert, Dennis - 2010
Implied Base Correlations of Single-tranche CDOs on standardized Credit Indices such as the iTraxx Europe have been used in the credit derivatives market for price communication. During the financial crisis, implied correlations have been quite volatile indicating the growing fraction of...
Persistent link: https://www.econbiz.de/10003981941