Valuation and analysis of collateralized mortgage obligations
Article Abstract:
Collateralized Mortgage Obligation (CMO) valuation models are derived using a two-factor model based on interest rate term structure. CMOs consist of sequential pay bond series or mortgage-backed securities, whose structures have become more complex over time. CMOs can be issued using a combination of tranches varying from Planned Amortization Class to Targeted Amortization Class. The derived model will also evaluate the impact of mortgage prepayments and variability of interest rates on different CMO tranches. This model will differ from earlier models by defining stochastic cash flows as well as terminal conditions for all of the CMO tranches involved in the mortgage issuance. This model indicates that the tranches are variously sensitive to change in interest rates, CMO structure as well asthe nature of mortgage structure and collaterals.
Publication Name: Management Science
Subject: Business, general
ISSN: 0025-1909
Year: 1993
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Designing Spreads in Forward Exchange Contracts and Foreign Exchange Futures
Article Abstract:
Foreign exchange futures' risk is analyzed in the process of creating successful spreading strategies. This information is of value both to traders and portfolio managers. Tables of bull and bear statistics are featured. The forward premium is determined to be caused by both the current spot exchange rate as well as the links of home and foreign exchange rates. Tables of conditions for spread strategies are included. Residual exchange risk could be decreased by blending options with requisite spreads.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1983
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Valuation of venture capital investments: empirical evidence
Article Abstract:
A basic binomial valuation model is investigated in modelling the risk-return profiles of venture capital investments. It is concluded that the model has predictive power on the actual future valuations.
Publication Name: R & D Management
Subject: Business, general
ISSN: 0033-6807
Year: 2001
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