Mortgage Securitization; Pricing and Risk Management
Keyword(s):
This chapter captures an overview of how real-estate risk is transferred to investors through securitization channels. A large part is dedicated to a less known financial instrument called balance guaranteed swap, which is a type of multi-period derivative contingent on cash-flows generated by a pool of mortgage loans. Emphasis is placed on the problems arising from modelling cash-flows and also revealed is the difficult task of dynamically managing the risk of the balance guaranteed swaps.
1997 ◽
Keyword(s):
Keyword(s):
2011 ◽
Vol 2011
◽
pp. 1-64
◽
2013 ◽
Vol 25
(2)
◽
pp. 99-110
◽
2000 ◽
Vol 47
(3)
◽
pp. 443-469
◽