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Structural Default Modeling: A Hybrid Based Approach

George M. Jabbour, Shujun (Ken) Yu, Marat V. Kramin and Stephen D. Young
The Journal of Fixed Income Spring 2014, 23 (4) 33-49; DOI: https://doi.org/10.3905/jfi.2014.23.4.033
George M. Jabbour
is MSF program director and professor of finance at George Washington University School of Business in Washington, D.C.
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  • For correspondence: jabbour@gwu.edu
Shujun (Ken) Yu
is an officer of the Treasury Group of the International Finance Corporation in Arlington, VA.
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  • For correspondence: syu@ifc.org
Marat V. Kramin
is director of Fixed Income Analytics at Wells Fargo Securities in Charlotte, NC.
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  • For correspondence: marat.kramin@wellsfargo.com
Stephen D. Young
is chief risk officer for the Affiliated Managers Division of Wells Fargo Asset Management Group in Charlotte, NC.
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  • For correspondence: stephen.d.young@wellsfargo.com
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Abstract

This article discusses the use of mortgage-backed securities and fixed-income derivatives analytics in order to model agency mortgage real estate investment trust (REIT) holdings in more detail than standard equity market practice. The author shows that book value projections derived from a full bottom-up modeling approach are quite accurate. He also computes such metrics as duration, convexity, and basis risk of mortgage REITs, and suggests hedging strategies. Finally the author explores performance attribution and how to fundamentally explain the large yields observed on these stocks.

TOPICS: Fixed income and structured finance, fixed-income portfolio management, portfolio theory

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The Journal of Fixed Income: 23 (4)
The Journal of Fixed Income
Vol. 23, Issue 4
Spring 2014
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Structural Default Modeling: A Hybrid Based Approach
George M. Jabbour, Shujun (Ken) Yu, Marat V. Kramin, Stephen D. Young
The Journal of Fixed Income Mar 2014, 23 (4) 33-49; DOI: 10.3905/jfi.2014.23.4.033

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Structural Default Modeling: A Hybrid Based Approach
George M. Jabbour, Shujun (Ken) Yu, Marat V. Kramin, Stephen D. Young
The Journal of Fixed Income Mar 2014, 23 (4) 33-49; DOI: 10.3905/jfi.2014.23.4.033
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  • Article
    • Abstract
    • THE MODEL
    • MERTON [1974]
    • GESKE [1977]
    • MERTON [1976]
    • THE HYBRID LATTICE MODEL
    • AMIN [1993]
    • NUMERICAL ANALYSIS AND RESULTS
    • SUMMARY AND CONCLUSIONS
    • ENDNOTES
    • REFERENCES
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