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hedge MBS

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bakait
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Joined: January 11th, 2010, 4:34 am

hedge MBS

October 14th, 2010, 8:05 am

I have been reading on net that MBS can be hedged using similiar duration treasury securities, but not able to visualize the same. Can anybody help me in understanding the same.Regards
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edult
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Joined: October 31st, 2007, 8:24 pm

hedge MBS

October 14th, 2010, 12:56 pm

Duration of an MBS depends a lot on the prepayment model assumptions, thus you could never get a correct hedge.
Last edited by edult on October 13th, 2010, 10:00 pm, edited 1 time in total.
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