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Questions tagged [structured-finance]

The tag has no usage guidance.

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Is there a quantitative definition of a Quiet, Moderate or Accelerate market conditions?

i know the StdDev price technical indicator which is the standard deviation but this one has an absolute value. The market conditions are: Quiet: lower oscillation of price around a constant ...
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Collateralized Bond Obligations History

Collateralized Bond Obligations (CBOs) were a form of CDOs that were more popular in the early 2000s. I am looking for: Historical loss rates on their tranches (if available) Whether historically any ...
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34 views

Structured product with coupons

What kind of structured product has the following payout?: Guaranteed capital at maturity $T$ It pays a coupon at time $t$ equal to $$C_0\sum_{i=1}^{\infty}\max(S(t)/S(t-1)-1-C_1 i;0)$$ with $C_0,...
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3answers
128 views

Structured product sellers and div swaps

From a Barclays primer on dividend swaps: We note that for shorter periods of time, implied dividends can be more volatile than spot as dividends often trade away from ...
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2answers
1k views

FX: PRDC (Power Reverse Dual-Currency Notes): key risks and callability

Can anyone tell me more about PRDC products. I've heard it is a popular product among Japanese investors. One popular product is the 10Y BRL/JPY paying a coupon of 20%*PerfFX-15% with callable options ...
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1answer
771 views

Total market size of structured products

Is there any number or estimate for the total notional in structured products in the market? I could only find figures for Germany. What about across categories? I.e. Equity linked notes, index ...
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91 views

Borrower, platform, SPV relationship with borrower payment dependent notes?

As you know, real estate crowd funding platforms are taking off at the moment. Platforms connect investors to real estate assets. I am having an issue with understanding how exactly borrower payment ...
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4k views

Current big topics in quantitative finance for a research paper? [closed]

I am a final year student in quantitative finance. To get my degree, I need to write a research paper (approx. 50 pages) about any quantitative financial topic. After getting my degree I would like ...
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Just how transparent are CDOs?

Not sure if this belongs here on on money SE. Just how transparent are CDOs? Would the ultimate investor have insight into the underlying collaterals or just an overall tranche rating? Has ...
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2answers
548 views

Where can I find exercises on building a project finance spreadsheet?

I'm looking for a set of exercises that teach how to build a project finance spreadsheet. I accept there may be no typical project finance, but there are a lot of principles are shared in common ...
12
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1answer
897 views

What SABR $\beta$ to use for EURIBOR swaption smiles

I am currently wrapping up my thesis. My final chapter is on applying the SABR model model for pricing purposes. I am valuing a constant maturity swap by replicating its value using plain vanille ...
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3answers
668 views

How are prices calculated for commercial/residential mortgage-backed securities?

What is the theoretical/mathematical basis for the valuation of [C]MBS and other structured finance products? Is the methodology mostly consistent across different products?