This article proposes a dynamic hedging model for Government National Association
Mortgage‐Backed Securities (GNMA MBSs) that is free of the drawbacks associated with the …

Over the past 31 years, The Journal of Fixed Income has published articles that were
primers about the structure and risk characteristics for the growing number of complex …

Purpose–Interest only strips are created by stripping the interest portion of cash flows
generated in mortgage‐backed securities or simply by servicing portfolios of mortgages. A …

This paper investigates the feasibility of an individual hedging the interest rate risk involved
in planning to take out a mortgage at a future point in time. Simulation using market data …

Purpose–The purpose of this paper is to present an innovative model that helps create a
portfolio of m‐fixed‐income securities, each with the optimal weight, in order for the portfolio …

Title of Dissertation: THREE ESSAYS ON MORTGAGE BACKED SECURITIES: HEDGING
INTEREST RATE AND CREDIT RISKS Jian Chen, D Page 1 ABSTRACT Title of Dissertation …

It is important that the reader understands that the value of an IO, or of a MSR, is the present
value of the cash flows received over time. Clearly, the lower the cash flows are (due to high …

Purpose–The aim of this paper is to develop the optimal delta hedge for a portfolio of
mortgage servicing rights (MSR) under the constraint of a zero‐gamma in order to avoid …

It is frequently said that mortgage-backed securities (MBS) of different security designs are
issued in an attempt to meet the varying needs and expectations of investors. If this is true …

本研究以國內共同基金為現貨部位, 驗證國內多重期貨契約之避險績效, 是否較單一期貨,
能提供較佳之避險績效, 以作為機構投資者與基金經理人進行避險操作之參考準則 …