Putting a price on subprime assets

Ongoing problems facing buy-side managers substantially exposed to US subprime and other mortgage-backed instruments highlight the need for more effective risk and valuation modelling for illiquid securities, but firms cannot expect quick fixes for such a complex challenge.

A recent report by risk management technology developer RiskMetrics Group, A subprimer on risk, outlines current mortgage-backed market factors affecting hedge fund and investment managers, emphasising the link between ill

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