Format:
1 Online-Ressource
Content:
Interest rate modeling is an integral part of the mortgage backed security (MBS) pricing mechanism. The particular model choice can have a significant impact on both the MBS valuation and its risk metrics. The market implied interest rate volatility skew suggests that the interest rate distribution is often more normal than log-normal. A normal model tends to shorten the MBS durations while a log-normal model prevents the rates from going negative. We show how QGM models can have the best of both worlds
Note:
In: Journal of Fixed Income, Winter 2014, Vol. 23, No. 3: pp. 15–35
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Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 6, 2013 erstellt
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Volltext nicht verfügbar
Language:
English
DOI:
10.2139/ssrn.2277588
