Putting a price on subprime assets

Structured credit investors nursing losses from subprime-infected assets want better valuation models for illiquid securities such as MBS. But as Stewart Eisenhart reports, such solutions will be tricky to design and costly to implement

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

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