The capital market in which asset-backed securities are issued and traded is composed of
three main categories: ABS, MBS and CDOs. We were able to examine a total number of …

In this study we provide empirical evidence demonstrating a relationship between the nature
of the assets and the primary market spread. The model also provides predictions on how …

The 10-year Treasury rate has long been considered the primary determinant of 30-year
mortgage interest rates. The contemporaneous 10-year LIBOR swap rate is shown to better …

Asset-backed securitization (ABS) is a highly flexible yet complex refinancing technique that
involves the issuance of contingent claims with varying seniority on the cash flow …

Asset-backed securitisation has become a viable and increasingly attractive risk
management and refinancing method either as a stand-alone form of structured finance or …

Traditionally, the MBS and Treasury markets have been intertwined so closely that hedging
of mortgage portfolios could have been done solely by Treasury derivatives. With the credit …

Asset-backed securitization (ABS) has become a viable and increasingly attractive risk
management and refinancing method either as a standalone form of structured finance or as …

Ziel dieser Präsentation (anlässlich des Seminars „Die Auswirkungen von Asset
Securitisation auf die Stabilität des Finanzmarktes “Österreichische Nationalbank (ÖNB) …

The aim of this thesis is to evaluate the effectiveness of technical analytic indicators in the
fixed income markets. Technical analysis is a widely used methodology by investors in the …

This study uses the two-factor valuation framework of Longstaff and Schwartz (1992a) to
model the stochastic evolution of credit spreads and price European-type credit spread …