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l2 50 valuing mortgage-backed and asset-backed securities

This class was created by Brainscape user Steven Popovic. Visit their profile to learn more about the creator.

By: Steven Popovic
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Decks in this class (9)

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;
No deck description has yet been added by the author.
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b describe the Monte Carlo simulation model for valuing a mortgage-backed security;
No deck description has yet been added by the author.
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c describe path dependency in passthrough securities and the implications for valuation models;
No deck description has yet been added by the author.
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d explain how the option-adjusted spread is calculated using the Monte Carlo simulation model and how this spread measure is interpreted;
No deck description has yet been added by the author.
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e evaluate a mortgage-backed security using option-adjusted spread analysis;
No deck description has yet been added by the author.
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f explain why effective durations reported by various dealers and vendors may differ;
No deck description has yet been added by the author.
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g analyze the interest rate risk of a security, given the security’s effective duration and effective convexity;
No deck description has yet been added by the author.
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h explain cash flow, coupon curve, and empirical measures of duration, and describe limitations of each in relation to mortgage-backed securities;
No deck description has yet been added by the author.
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i determine whether the nominal spread, zero-volatility spread, or option-adjusted spread should be used to evaluate a specific fixed income security.
No deck description has yet been added by the author.
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l2 50 valuing mortgage-backed and asset-backed securities

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