| Collateralized Mortgage Obligations (CMOs) Financial_services > Investment banking and brokerage > Collateralized Mortgage Obligations (CMOs) |  |
Analysis of the fact that pools with apparently identical characteristics often exhibit different prepayment behavior, and development of a methodology for using this information to calculate pool-specific mortgage-backed security prices.
Case study by professor Ian Giddy of New York University's Stern School of Business.
Development of a new strategy for dynamically hedging mortgage-backed securities (MBSs).
Analysis of the dynamics of the commonly used indices for adjustable rate mortgages, and systematic comparison of the effects of their time series properties on the interest rate sensitivity of adjustable rate mortgages.
A discussion of the relevance of correlation analysis for collateralized debt obligations.
A glossary of mortgage-backed securities by professor Ian Giddy of New York University.
Overview of collateralized mortgage obligations, including a brief discussion of calculating prepayment speeds.
Lecture by professor Ian Giddy of New York University's Stern School of Business.
Table with pass-through and CMO-Remic comparisons.
Development of a valuation model that finds that mortgage-backed securities can be well described as a function of the level and slope of the term structure.
Analysis of structured mortgage derivatives versus securitized structures and their effect on underwriter fees.
Presentation of an algorithm that permits ARM issuers and investors to quantify the effects of the many interacting contract features, such as reset margin, coupon rate caps and reset frequency, that determine mortgage value.
Presentation of a possible explanation for the large menus of mortgages typically encountered by potential borrowers. Suggests that the menu of contracts available at the time of origination should be an important predictor of future prepayment.
Discussion of types of mortgage-backed securities by professor Ian Giddy of New York University.
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