thanks

Hi,How would you rank the following banks for interest rate der. and credit der.?CSFBUBSCommerzbankNomuraBNPParibasthank you

Hi,Could you tell me which instruments are actively traded (MBS, TBA...) and WHY they are traded. Does there exist a way to get the outstanding volume of TBAs?What is the liquidity on those instruments?thank youJulien Dinh

Avoid volatility, it makes the prices higher...

<r>QuoteOriginally posted by: pdb36I made a 3-factor Monte Carlo model for a federally backed MBS last year for a masters paper last year. I used Stanley Pliska's paper "A 3-Factor Valuation Model for Mortgage-Backed Securities" (<URL url="http://tigger.uic.edu/~srpliska/">http://tigger.uic.edu/~srp...

The problem with the uniform number to split the 0,1 interval is that you are going to get weights that are very close to 1/N.

I cannot give you the algorithm (I did it for my former company and hence it is their property), but the idea is a recursive scheme where at each step extract the points on the frontier by a convex hull algorithm, and you use those to resimulate with the convenient shape.

In very high dimensions (>150 assets) you can get a relatively good estimate of the frontier in a couple seconds with a (powerfull) simulation algorithm.

Yes, I want to model agency MBS. For the moment I still don't have data so I am trying to see in which direction to go until I get the data.

<t>To make my question more precise:for pricing MBS, what do you think about pricing MBS as :a portfolio of index amortizing swaps?reduced form models (intensity of default as a function of an incentive to refinance)?an optimal recurcive refinancing?and if you have an idea, which gives the best resu...

<t>The best way to get N random variables adding up to one is to use the dirichlet algorithm. It is, I think (I don't really remember) drawing random numbers from the gamma distribution and then normalizing.the 2 good things are:- with a constant shape parameter you will obtain N random variables wi...

I am doing my master thesis on MBS modelling.which practical models and inputs would you recommend?thank youJulien

<t>The other good point for the investor is that by renegociating the rate, he does not change the maturity of the contract. Lets say the mortgage has still 23 years to go, he could refinance to a 30Y loan => increase in maturity15Y loan => increase in the monthly payments (even if the mortgage rate...

I knew about it, because my Mother did it My problem is, is it possible to do this if your mortgage is in a pool ? And if yes, what happens to the pool?

<t>Hi chiral,As you might have seen, I started 2 weeks ago to work on MBS for my master thesis. Could you please give me some details about cum loss and dq and how they are used in PRACTICE.I was able to find (and I read) most of the theoretical work on MBS (stanton, pliska, Longstaff, schwartz, den...