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Questions tagged [structured-finance]

The tag has no usage guidance.

15
votes
3answers
689 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?
13
votes
1answer
914 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 ...
4
votes
0answers
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 ...
3
votes
2answers
553 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 ...
3
votes
0answers
39 views

S. Bossu's Correlation Swaps Model

I am reading Sebastien Bossu's "A new Approach For Modelling and Pricing Correlation Swaps" (link). I am recalling some of the definitions from the paper and would like to understand how to prove one ...
2
votes
3answers
136 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 ...
2
votes
0answers
93 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 ...
1
vote
1answer
52 views

How to hedge x gamma in callable prdc?

How do you hedge the short rates - fx cross gamma in a callable PRDC (Power Reverse Dual Currency note) ?
1
vote
0answers
33 views

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 ...
1
vote
0answers
24 views

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 ...
0
votes
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 ...
0
votes
1answer
808 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 ...
0
votes
0answers
27 views

Floating coupon rate based on sales?

Just a quick question, can a floating coupon rate be tied to SPV daily revenue? My client want to issue an ABS bond, and its coupon would be (0 + 2% of the daily sales) Would it be admissible? or ...
0
votes
0answers
24 views

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 ...
0
votes
0answers
35 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,...