11. Analysis of Mortgage-Backed Securities: Before and After the Credit Crisis

  1. Tomasz R. Bielecki,
  2. Damiano Brigo and
  3. Fédéric Patras
  1. Harvey J. Stein,
  2. Alexander L. Belikoff2,
  3. Kirill Levin3 and
  4. Xusheng Tian4

Published Online: 7 SEP 2012

DOI: 10.1002/9781118531839.ch11

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

How to Cite

Bielecki, T. R., Brigo, D. and Patras, F. (2011) Analysis of Mortgage-Backed Securities: Before and After the Credit Crisis, in Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118531839.ch11

Author Information

  1. 2

    Bloomberg LP

  2. 3

    Bloomberg LP

  3. 4

    Bloomberg LP

Publication History

  1. Published Online: 7 SEP 2012
  2. Published Print: 24 JAN 2011

ISBN Information

Print ISBN: 9781576603581

Online ISBN: 9781118531839

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Keywords:

  • mortgage-backed securities;
  • collateralized mortgage obligations;
  • graphical processing units;
  • credit crisis;
  • market size

Summary

This chapter contains sections titled:

  • Market Structure

  • Prepayment

  • Yields and OAS

  • Selection of Calibration Instruments

  • Interest Rate Models

  • Index Projection

  • Monte Carlo Analysis

  • Parallelization

  • Calculating Greeks

  • Validation

  • Conclusion

  • Acknowledgments

  • Notes