We dedicate this page to issues on pricing, financial evaluation, valuation, cashflow modeling, risk assessment and risk management issues in structured finance securities, asset backed securities and CDOs.

Pricing of asset backed securities

Valuation of asset backed securities:

• Valuation of mortgage and asset backed securities by Stone and Zissu

Risks in structured finance/ asset backed securities

• Background note on non-credit risks in structured finance securities, part of BIS working group report

Quantitative methods in evaluation of asset backed securities, CDOs:

• Andrea Jobst: A GARCH model for European ABS, CDO
• An option-theoretic prepayment model for mortgages and mortgage backed securities
• Effect of Prepayment modeling in pricing of mortgage backed securities

 

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