Valuation of Mortgage Backed Securities–Modeling Prepayments-Housing Turnover
3 mins read Prepayments In the model above we have assumed that prepayments are at 100% of PSA. Expressing prepayments in terms of
3 mins read Prepayments In the model above we have assumed that prepayments are at 100% of PSA. Expressing prepayments in terms of
2 mins read Valuation of Mortgage Backed Securities Valuation of Mortgage Backed Securities is a complex process with multiple layers. We start with
25 mins read Because so much of option pricing theory is concerned with understanding the behavior of the underlying variables, much of the terminology employed comes straight from statistics. This chapter therefore also explains the key concepts and defines the technical terms most commonly used by derivatives experts terms that may not be familiar to those outside risk management
3 mins read Mortgage-backed securities (MBS) are complex instruments with just as complex valuation models. A valuation model develops a pricing mechanism for
5 mins read Adjustable Interest Rate Mortgage (ARM): The interest rate on Adjustable Interest Rate Mortgage or ARMs adjust periodically during the year