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An innovative form of credit enhancement for securitized reverse mortgages: Finding paths of cross-over points isolated from changes in interest and inflation rates

Ortiz, Carlos E.; Stone, Charles A.; Zissu, Anne - In: Journal of Risk Finance 14 (2013) July, pp. 414-431

Purpose – One of the main risks to investors in securitized reverse mortgages is that the value of the reverse mortgage exceeds that of the property. The purpose of this paper is to develop a model that determines paths of constant cross-over points across any pairs of interest and inflation...

Persistent link: https://www.econbiz.de/10010815090

The securitization markets handbook : structures and dynamics of mortgage- and asset-backed securities

Stone, Charles A.; Zissu, Anne - 2005 - 1. ed.

Persistent link: https://www.econbiz.de/10004784895

Fund of Fund Securitizations

Stone, Charles A.; Zissu, Anne - In: The journal of derivatives : the official publication … 11 (2004) 4, pp. 62

Persistent link: https://www.econbiz.de/10005926803

INNOVATIONS - Synthetic Collateralized Loan Obligations: Olan Enterprises, PLC

Stone, Charles A.; Zissu, Anne - In: The journal of derivatives : the official publication … 9 (2002) 3, pp. 73

Persistent link: https://www.econbiz.de/10005944318

Securitization of Senior Life Settlements: Managing Extension Risk

Stone, Charles A.; Zissu, Anne - In: The journal of derivatives : the official publication … 13 (2006) 3, pp. 66

Persistent link: https://www.econbiz.de/10006108051

The return on a pool of senior life settlements

Stone, Charles A.; Zissu, Anne - In: The journal of structured finance 13 (2007/08) 2, pp. 62-69

Persistent link: https://www.econbiz.de/10009881883

Delta hedging IO securities backed by senior life settlements

Stone, Charles A.; Zissu, Anne - In: The journal of structured finance 15 (2009) 2, pp. 93-100

Persistent link: https://www.econbiz.de/10009881949

The asset and liability sides of senior life settlements

Stone, Charles A.; Zissu, Anne - In: The journal of structured finance 16 (2011) 4, pp. 69-76

Persistent link: https://www.econbiz.de/10009882012

Delta hedging a two-fixed-income-securities portfolio under gamma and vega constraints : the example of mortgage servicing rights

Ortiz, Carlos E.; Stone, Charles A.; Zissu, Anne - In: Journal / The Capco Institute : journal of financial … 25 (2009), pp. 8-11

Persistent link: https://www.econbiz.de/10009895904

Can ARMs' mortgage servicing portfolios be delta-hedged under gamma constraints?

Ortiz, Carlos E.; Stone, Charles A.; Zissu, Anne - In: Journal / The Capco Institute : journal of financial … 28 (2010), pp. 77-85

Persistent link: https://www.econbiz.de/10009895912