Abstract
In this survey article, the author describes different approaches to the valuation and risk analysis of structured securities composed of heterogeneous individual loans. Such securities, including CMOs, CDOs, CLOs, and other ABS, have greatly grown in volume, complexity and type over the last few decades. Using credit-sensitive residential mortgagebacked securities (RMBS) as a focal point, he highlights key valuation concepts including static spread, market value, intrinsic value, and credit-adjusted option-adjusted spread and discuss how their use has evolved through the financial crisis. <b>TOPICS:</b>Security analysis and valuation, MBS and residential mortgage loans
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
