<t>Hi all,when calibrating a structural pricing model, I assume stochastic processes under the risk-neutral measure for the state variables (short rate, firm's assets, etc.). Then I calculate prices as present-discounted cashflows, which is possible because the processes are under the risk-neutral m...

<t>I've been trying to wrap my head around prepayment risk for auto ABS, which is much less interest-rate driven than prepayment of MBS (or at least let's assume that for now, since I want to understand the nature of prepayment risk in general, and not only when prepayment is mainly driven by intere...

<t>Hi,what numbers did you get for the skewness and kurtosis of yield changes?Many papers deal with yield changes, or yield spread changes (perhaps best known: Collin-Dufresne Goldstein Martin 2001 Journal of Finance), but nobody ever gives you a basic distributional of their data.I'm investigating ...

<t>Thank you both!Guesses are welcomed, Martinghoul, supplemented with Google they can be useful.I think MMS = matched maturity swap is correct, since that is used for most A-3 and lower tranches.iLIBOR, 1ML, and 3ML is used for tranches A-1 and A-2. I don't think ML stands for months LIBOR though, ...

<t>I'm looking at asset-backed securities of car loans, and I'm interested in understanding what the market was like back in the days before the Crisis.I found this document online (to be precise: "US Consumer ABS Performance Monitor" by Barclays Capital, published February 27, 2006), and it contain...

<t>Dave,Thanks for your comment! You're probably right that they are quite different in their approch.But they talk about the same things, namely how the price of a security will change from one period to the next. That's why I am surprised to not find them ever mentioned in the same book! Let alone...

<t>Hi everybody,Essentially I would like to talk about the difference between two types of asset pricing models.On the one hand:Structural bond pricing models that specify stochastic processes for a firm's asset value and the short rate, both driven by observable state variables. Default occurs when...

Hi all,I'm calculating monthly excess returns on bonds, and for that I need a 1-month risk-free rate.Since 2001 the Fed publishes the 1-Month Treasury Constant Maturity Rate, which would be the preferred measure, right?But what would you guys use for the period before 2001?Thanks a lot!Richard