Session 15: Fixed Income: Structured Securities
Reading 57: Valuing Mortgage-Backed and Asset-Backed Securities
LOS b: Describe the Monte Carlo simulation model for valuing a mortgage-backed security (MBS).
Which of the following is a difficulty in valuing collateralized mortgage obligations (CMOs) using Monte Carlo simulation or any other methodology? The issuer has distributed:
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A) |
both the prepayment risk and interest rate risk unequally into different tranches. | |
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B) |
both the prepayment risk and interest rate risk equally into different tranches. | |
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C) |
the prepayment risk into different tranches. | |
Some of the tranches are more sensitive to prepayment risk and interest rate risk than the collateral, while others are much less sensitive. | 
发表于 2010-4-21 14:25
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