Questions tagged [securitization]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
0
votes
0answers
26 views

The minimal entropy martingale measure for insurance-linked securities pricing

Suppose that we have a CAT bond contract that pays coupons at discrete points in time as well as a principal at maturity time $T$ if no triggering event happens during the term of the contract. More ...
0
votes
0answers
36 views

Roll rate model building for a loan portfolio

I've a portfolio of a set of loans to analyse and I need to find the roll rate, Can someone explain the process of roll rate model building ? Thanks
0
votes
0answers
28 views

Why isn't prepayment modelling done on actual prepaid amounts?

When modelling prepayments in Securitized products, why is it that the standard model involves a transition matrix (Markov Chain) framework, where the probabilities of transitioning between different ...
0
votes
1answer
66 views

T- bond cash flows [closed]

a) without a frequency and T note start date how do I find the coupon dates and cash flows? b) is that calculated semi- annually? c) how do I find the number of days for the current period? Thanks
0
votes
1answer
113 views

what is the difference between Interest-only/Principal-only securities and CMO strips?

In the definition available here It seems that both Interest-only/principal-only securities. Collateralized Mortgage Obligation Strips. are types of Stripped Mortgage-Backed Securities (SMBS). ...
0
votes
3answers
151 views

Why are there no securitized cash dividends?

Some bond coupons are securitized and sold as strip bonds. Why can't stocks be similarly "stripped" to produce securitized dividend strips? Is it merely because there is no demand for such a ...
0
votes
0answers
89 views

Any books on systematic investing in credit securitized products (RMBS, CLO)?

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 ...
0
votes
0answers
52 views

Can a bond be denominated in another security?

Could a bond be issued that's denominated in securities like ETF shares or stock shares? Of course most people would not want to buy it, but is it possible? I know it's possible to short a security, ...
1
vote
0answers
48 views

What is a quick way to estimate the haircut on a collateral that is actively traded

If I have an traded asset like a bond with face value of 1 million, but currently trading at 0.9 million, can I simply say that the haircut, if I use this asset as a collateral for repo, is 1 - 0.9=0....