Mortgage-backed securities (MBS)
Risk Awards 2015: Critics challenged to look at the data by fund branded ‘not rateable’
This paper contributes to the literature about estimating asset correlation in two ways. First, we compare the performance of different estimation approaches in a simulation study.
Volume 10, Issue 2 of the journal presents two research papers and two technical reports. The first research paper in the issue is "Estimation of risk measures for large credit portfolios" by Johannes Hauptmann, Pablo Olivares and Rudi Zagst. The authors propose a methodology to assess risk measures for portfolio losses in the context of credit risk.
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More Mortgage-backed securities (MBS) articles
Hedge funds have been keen buyers of the new mortgage risk-sharing deals issued by Fannie Mae and Freddie Mac, but as spreads have tightened, worries about leverage have grown. Some now argue mortga...
Performance and asset flows of securitised credit products have combined to make this group one of the most profitable for investors and hedge fund managers. But there are now signs of waning intere...
Underlines growing strategic importance of infrastructure bonds and MBS, finds survey
Some buy-side firms are already calling it the great unwind – the migration out of the huge bond portfolios buy-side firms have built up in recent years, as rates eventually rise. But with dealers...
Walks and talks like a multi-strat
Finer focus needed
The BoJ's latest inflation targeting weapon could challenge its balance sheet strength
UBSGAM settles SEC mispricing charges for $300,000
Top quant says a CVA model that is 80% accurate but takes 20% of the time is "very attractive"
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.