PT  - JOURNAL ARTICLE
AU  - George M. Jabbour
AU  - Shujun (Ken) Yu
AU  - Marat V. Kramin
AU  - Stephen D. Young
TI  - Structural Default Modeling: <em>A Hybrid Based Approach</em>
AID  - 10.3905/jfi.2014.23.4.033
DP  - 2014 Mar 31
TA  - The Journal of Fixed Income
PG  - 33--49
VI  - 23
IP  - 4
4099  - https://pm-research.com/content/23/4/33.short
4100  - https://pm-research.com/content/23/4/33.full
AB  - 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