Value at risk calculations, extreme events, and tail estimation

SN Neftci - Journal of Derivatives, 2000 - search.proquest.com
Value at risk has become a standard approach for estimating and expressing a firm's
exposure to market risk. Unlike the traditional risk measure, standard deviation, VaR focuses …

Analysis of the interest rate sensitivity of common stocks

FK Reilly, DJ Wright… - Journal of Portfolio …, 2007 - search.proquest.com
The association between interest rate changes and stock returns has long been of interest to
investors, all the more so recently as investors and the financial and popular press have …

[BOOK][B] Financial innovation in the banking industry: the case of asset securitization

L Obay - 2014 - api.taylorfrancis.com
Untitled Page 1 Page 2 GARLAND STUDIES ON THE FINANCIAL SECTOR OF THE
AMERICAN ECONOMY edited by STUART BRUCHEY ALLAN NEVINS PROFESSOR …

Analyzing yield, duration and convexity of mortgage loans under prepayment and default risks

MS Tsai, SL Liao, SL Chiang - Journal of Housing Economics, 2009 - Elsevier
In this article, we construct a general model, which considers the borrower's financial and
non-financial termination behavior, to derive the closed-form formula of the mortgage value …

What is the “duration” of Swiss direct real estate?

M Constantinescu - Journal of Property Investment & Finance, 2010 - emerald.com
Purpose–Computing the duration of real estate assets is a challenging task due to the
particularities of the property market. This paper aims to develop an empirical model to …

Mortgage hedge ratios: which one works best?

LS Goodman, J Ho - The Journal of Fixed Income, 1997 - search.proquest.com
The real question a mortgage investor must focus on is: Which Treasury security (or
combination of securities) on a market-neutral basis is may mortgage-backed security a …

[PDF][PDF] Секьюритизация ипотечных активов: механизм, инструменты, подходы к управлению рисками

АА Лупырь - 2014 - disser.spbu.ru
Актуальность темы диссертационного исследования. Процесс вытеснения
традиционного банковского кредитования методами финансирования, основанными …

Closed-form mortgage pricing formula with outstanding principal as prepayment value

YC Tsai, ZH Chen, JM Ho, MY Kao… - … IEEE Conference on …, 2012 - ieeexplore.ieee.org
This study considers all the possible actions a borrower may have, ie, to default, to prepay,
and to maintain the mortgage, during mortgage horizon. Then, we provide an effective and …

The Influences of Foreclosure Factors on the Value, Yield, Duration and Convexity of a Mortgage

SL Chiang, MS Tsai, S Jiang - Real Estate Economics, 2021 - Wiley Online Library
This article presents a theoretical model that considers the influence of foreclosure factors,
including foreclosure lag, foreclosure costs and the ratio of the auction price to the unpaid …

[PDF][PDF] The Influences of Foreclosure Factors on the Value, Yield, Duration and Convexity of a Risky Mortgage

SL Chiang, S Jiang - efmaefm.org
This paper presents a theoretical model that considers the influence of the foreclosure
factors (including the foreclosure lag, the foreclosure costs and the ratio of the auction price …