Introduction to Securitization outlines the basics of securitization, addressing applications for
this technology to mortgages, collateralized debt obligations, future flows, credit cards, and …

Mortgage-backed securities (MBS) are among the most complex of all financial instruments.
Analysis of MBS requires blending empirical analysis of borrower behavior with the …

We define a new approach to manage prepayment, default and interest rate risks
simultaneously in some standard asset-backed securities structures. We propose a …

Supervisors expect that a bank will have adequate capacity, including during periods of
stress, to establish and verify valuations for instruments in which it engages. A bank is …

This paper addresses the expansion and performance of non-standard mortgage lending
products to better understand the impact of such products on borrowers and the financial …

В статье рассматриваются вопросы кредитного риска по ипотечным активам в
контексте международных стандартов Базельского комитета по банковскому надзору …

We define a new approach to manage prepayment, default and interest rate risks
simultaneously in some standard asset-backed securities structures. We propose a …

In this paper, we investigate a pricing model for mortgage-backed securities (MBSs) of a pay-
through type of collateral mortgage obligation (CMO), embedded call options, which can be …

This chapter is a rapid tour of the basics of securitization. We define a few terms and follow
the cash flows in a typical securitization. Then we see how the various types of securitized …

In this paper, we apply parallel computing using a message-passing interface to pricing the
Mortgage Backed Securities (MBS) with multiple tranches. We use the Finite Difference …