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| Mortgage Choice: What's the Point? Presentation of a possible explanation for the large menus of mortgages typically encountered by potential borrowers. Suggests that the menu of contracts available at the time of origination should be an important predictor of future prepayment. | |
| A Comparison of Mortgage Securities Characteristics Table with pass-through and CMO-Remic comparisons. | ||
| Collateralized Debt Obligations A discussion of the relevance of correlation analysis for collateralized debt obligations. | ||
| Types of Mortgage-Backed Securities Discussion of types of mortgage-backed securities by professor Ian Giddy of New York University. | ||
| Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment Development of a valuation model that finds that mortgage-backed securities can be well described as a function of the level and slope of the term structure. | ||
| Bond Resources Guide to CMOs Overview of collateralized mortgage obligations, including a brief discussion of calculating prepayment speeds. | ||
| Case Study: Dah Sing Hong Kong Mortgage-Backed Securities Case study by professor Ian Giddy of New York University's Stern School of Business. | ||
| Mortgage-Backed Securities Lecture by professor Ian Giddy of New York University's Stern School of Business. | ||
| A Glossary of Mortgage-Backed Securities A glossary of mortgage-backed securities by professor Ian Giddy of New York University. | ||
| Pool-Specific Versus Generic Mortgage-Backed Security Prices Analysis of the fact that pools with apparently identical characteristics often exhibit different prepayment behavior, and development of a methodology for using this information to calculate pool-specific mortgage-backed security prices. | ||
| ARM Wrestling: Valuing Adjustable Rate Mortgages Presentation of an algorithm that permits ARM issuers and investors to quantify the effects of the many interacting contract features, such as reset margin, coupon rate caps and reset frequency, that determine mortgage value. | ||
| A New Strategy for Dynamically Hedging Mortgage-Backed Securities Development of a new strategy for dynamically hedging mortgage-backed securities (MBSs). | ||
| Making Markets for Structured Mortgage Derivatives Analysis of structured mortgage derivatives versus securitized structures and their effect on underwriter fees. | ||
| Anatomy of an ARM: The Interest Rate Risk of Adjustable Rate Mortgages Analysis of the dynamics of the commonly used indices for adjustable rate mortgages, and systematic comparison of the effects of their time series properties on the interest rate sensitivity of adjustable rate mortgages. | ||
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