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seen Sep 13 at 20:13

Sep
13
accepted Modelling currency exchange rates timeseries data across re-denomation dates
Sep
13
comment Modelling currency exchange rates timeseries data across re-denomation dates
This is the approach that first occurred to me, but I was waiting to see if someone (possibly, more experienced) would suggest this too.
Aug
21
asked Modelling currency exchange rates timeseries data across re-denomation dates
Aug
3
asked Resources for finding quantitative finance examples using excel, VBA and access
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awarded  Popular Question
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Dec
22
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Dec
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asked (Free) end of day historical data source for FTSE 350 sector indices
Dec
9
comment Securitization of a loan portfolio
+1 for the detailed explanation and schematic. Is there a "Securitization 101" type book you could recommend, that explains the technical, no-legal (i.e. modelling aspect) of securitization?
Dec
9
accepted Securitization of a loan portfolio
Dec
5
comment Securitization of a loan portfolio
@jeffm: Getting slight of my depth here .. so I'll tell you the end goal, and then hopefully, (you) or someone can tell me how to get there. Given a loan portfolio (consisting of 10ks of smaller sizee loans of different risk classes and tenors), I want to "slice" into larger issue sized bonds with predefined risk ratings and tenors. Ideally too, I'd like to hedge the interest payments against a major (say USD). My question is: what would be the steps involved in this securitization (repackaging of interest receipts)?
Dec
4
revised Securitization of a loan portfolio
added 1 characters in body; edited tags
Dec
4
comment Securitization of a loan portfolio
@jeffm: Not sure I understand your comment. I already stated that the loan book will be "sliced up" (i.e. diced into tranches) using the three 'attributes' I mentioned in my question. Is there some relevant information you feel I am leaving out?
Dec
4
asked Securitization of a loan portfolio
Nov
30
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Feb
24
accepted Taylor series expansion (Volatility Trading book) explanation sought
Feb
24
comment Taylor series expansion (Volatility Trading book) explanation sought
Ok, I finally got it phew. Thanks