RT Journal Article
SR Electronic
T1 A Capital Markets View of Mortgage Servicing Rights
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 37
OP 53
DO 10.3905/jfi.2001.319287
VO 11
IS 1
A1 Simon P.B. Aldrich
A1 William R. Greenberg
A1 Brook S. Payner
YR 2001
UL https://pm-research.com/content/11/1/37.abstract
AB This article describes a consistent framework for the valuation and hedging of mortgage servicing rights using the interest-only (IO) securities markets. It explores the similarities and differences between the mortgage servicing and IO securities markets. After discussing some of the characteristics and risks inherent in an investment in mortgage servicing rights, the authors use option pricing techniques to look at mortgage servicing valuation in the context of IO market valuations. Results show the relationships between the two markets.