Click to login and read the full article.
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600
Abstract
In this survey article, the author describes different approaches to the valuation and risk analysis of structured securities composed of heterogeneous individual loans. Such securities, including CMOs, CDOs, CLOs, and other ABS, have greatly grown in volume, complexity and type over the last few decades. Using credit-sensitive residential mortgagebacked securities (RMBS) as a focal point, he highlights key valuation concepts including static spread, market value, intrinsic value, and credit-adjusted option-adjusted spread and discuss how their use has evolved through the financial crisis.
- © 2012 Pageant Media Ltd
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600