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Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve

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Persistent link: https://www.econbiz.de/10013415731

Banking with overreaction

Parija, Arpit Kumar; Mathur, Vipul - 2023

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Distributional linkages between European sovereign bond and bank asset returns

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Prepayment Risk and Expected MBS Returns

Diep, Peter - 2016

We present a simple, linear asset pricing model of the cross section of Mortgage-Backed Security (MBS) returns in which MBS earn risk premia as compensation for their exposure to prepayment risk. We measure prepayment risk and estimate security risk loadings using real data on prepayment...

Persistent link: https://www.econbiz.de/10012455829

The Cross Section of MBS Returns

Diep, Peter - 2018

We present a simple, linear asset pricing model of the cross section of Mortgage-Backed Security (MBS) returns. MBS earn risk premia as compensation for theirexposure to prepayment risk. We measure prepayment risk and estimate security riskloadings using real data on prepayment forecasts vs....

Persistent link: https://www.econbiz.de/10012935104