Der Neueste Stand - Inflationsderivate
With the economy still suffering from the waves of the credit crunch, triggered by a housing price slump, Yong Kim provides a structural model of subprime mortgages based on housing market risks. Given the enormity of the subprime mortgage market failure,...
Der Neueste Stand - Hybrid-Risiko
Charles Smithson and Neil Pearson discuss the valuation of collateralised debt obligations (CDOs), with a close look at CDOs of subprime residential mortage-backed securities
Considering correlation as the major driving factor for portfolio risk, Farshad Mashayekhi and Joy Wang present a methodology for the estimation of correlation among retail exposures based on historical default rates in pools of retail accounts. The estimation...
Dick Boswinkel and Kent Westerbeck examine the behaviour of mortgage servicing rights' duration and convexity and explain how they relate to the prepayment assumptions used in valuing MSRs
Der Neueste Stand: Kreditrisiko
Approfondimenti - Gestione degli investimenti
As spreads to be earned on other fixed income products have declined, mortgages have become more attractive but investors should know what risks are hedged and why. Mark Raaberg considers the main risk dynamics of hedging mortgages and why duration is...
Banks offering no-cost mortgages have been accused of hiding the real cost of the loan from borrowers. But as Andrew Kalotay and Jinghua Qian explain, lenders can also run into problems if they fail to calculate correctly the prepayment behaviour of these...
Cutting Edge: Credit portfolio risk
This brief evaluates the supervisory-process and market-discipline pillars of the Basel II bank regulatory framework.
APPROFONDIMENTI. RISCHIO DEL PORTAFOGLIO CREDITI
Der Neueste Stand. Kreditportfoliorisiken
Approfondimenti. Volatilità implicita