Lin, Che-Chun; Chang, Jow-Ran; Chu, Ting-Heng; Prather, … - In: Review of Pacific Basin Financial Markets and Policies … 16 (2013) 04, pp. 1350024-1
The objective of this paper is to offer a methodology for sizing credit-sensitive Asset Backed Securities (ABS) used in the prime mortgage lending sector in the U.S. and then to evaluate their relative performance. Using a multi-factor Monte Carlo simulation framework, we perform a four-step...
