I'm looking for books/research papers that would have information on systematic strategies used in the Credit Securitized products space (specifically RMBS, CLO, etc.), if there are any? I've been looking for a while but haven't been able to find anything so far. Given the number of factors that go into these products, I would have thought it would be an area rife with analytical opportunities.

Would really appreciate any help with this.


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    $\begingroup$ I doubt you will find this. Systematic investing usually uses automation and those markets are rarely electronic. The closest you are likely to find are books on quantitative strategies -- and anything published is not likely to be valuable due to market efficiency. $\endgroup$ – kurtosis Aug 25 '20 at 1:46
  • $\begingroup$ @kurtosis Understood. I'm fairly new to the domain, and am just wondering, in this case, how do Portfolio Managers in quantitative funds think about investing in MBS? Thanks $\endgroup$ – Jojo Aug 25 '20 at 22:21
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    $\begingroup$ Very generally: in terms of prepayment models, default models, and exposures to risk factors like yield curve movements or macro credit measures. Details beyond that are generally "secret sauce" and so not discussed. $\endgroup$ – kurtosis Aug 26 '20 at 0:29
  • $\begingroup$ @kurtosis Thanks again. And is there general consensus on prepayment behavior, loss severity, etc. or is there room to capture extra yield by better estimates of these and thus some Quant managers may even look to improve upon these sorts of models (although most use similar models)? $\endgroup$ – Jojo Aug 31 '20 at 15:51
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    $\begingroup$ For prepayments, there is the PSA "model" (just a benchmark, really). Quant managers do look to improve on these models and the results are highly proprietary. I've seen those details defended legally and in other ways. Hence why I doubt you will find much beyond modeling generalities. $\endgroup$ – kurtosis Aug 31 '20 at 16:50

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