Find Flashcards
Why It Works
More
Educators
Businesses
Academy
About

Brainscape's Knowledge Genome^TM

Browse over 1 million classes created by top students, professors, publishers, and experts.

Entrance Exams
Professional Certifications
Foreign Languages
Medical & Nursing
Science
English
Humanities & Social Studies
Mathematics
Law
Vocations
Health & Fitness
Business & Finance
Technology & Engineering
Food & Beverage
Fine Arts
Random Knowledge

See full index

L2 50 Valuing Mortgage-Backed and Asset-Backed Securities > e evaluate a mortgage-backed security using option-adjusted spread analysis; > Flashcards

e evaluate a mortgage-backed security using option-adjusted spread analysis; Flashcards

L2 50 Valuing Mortgage-Backed and Asset-Backed Securities (9 decks)

a explain the calculation, use, and limitations of the cash flow yield, nominal spread, and zero-volatility spread for a mortgage-backed security and an asset-backed security;

b describe the Monte Carlo simulation model for valuing a mortgage-backed security;

c describe path dependency in passthrough securities and the implications for valuation models;

d explain how the option-adjusted spread is calculated using the Monte Carlo simulation model and how this spread measure is interpreted;

e evaluate a mortgage-backed security using option-adjusted spread analysis;

f explain why effective durations reported by various dealers and vendors may differ;

g analyze the interest rate risk of a security, given the security’s effective duration and effective convexity;

h explain cash flow, coupon curve, and empirical measures of duration, and describe limitations of each in relation to mortgage-backed securities;

i determine whether the nominal spread, zero-volatility spread, or option-adjusted spread should be used to evaluate a specific fixed income security.

Key Links
Subjects
Company
- About Us
- Earn Money!
- Academy
- Swag Shop
- Contact
- Terms
- Podcasts
Find Us

Brainscape helps you reach your goals faster, through stronger study habits.
© 2024 Bold Learning Solutions. Terms and Conditions