New answers tagged mbs
the negative and positives in the same series are a result of negative convexity. stated differently, the asymmetry in the series is a result of negative convexity. These relationships, however, are not permanent and may flip.
Please note, I am not from US market, so providing based on my views. MBS is a security and Bonds are also a security in our market. Both are backed by a type of mortgage. The price movement action is primarily based on Demand Supply Ratio. I have seen bonds (as per your market, its MBS) below their Face value. If the markets anticipates an interest ...
The best book i can think of are from FRM Quant program. The concepts for which you are seeking answers could be easily found in FRM part 1 books (Initial chapters). These are pretty expensive, but if you could get your hands on any older versions, that should be fine. Any MBS book would have these topics. But the reader must have keen intent to extract ...
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