Financial Engineering Seminar

April, 23, 2004(Fri)
4:00 PM - 4:50 PM (9th period),
Weil Hall 307

Recent Development in Mortgage-Backed Securities

Yong Li

The Midway Group

Research Director





Abstract:

In the last two years, we have witnessed the largest refinancing boom in history. Given the different landscape in the market, we discuss market development of Mortgage-Backed Securities (MBS), advances made in OAS valuation, mortgage prepayment modeling, and related risk management techniques. In particular, we will discuss some of the challenges facing the market players in terms of interest rate modeling, prepayment modeling, and portfolio optimization


Presentation