HerbN
  • Member for 7 years, 7 months
  • Last seen more than 4 years ago
General Framework For Valuing Mortgages
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Some thoughts from someone whose group does mortgage servicing rights valuations: Even for a first pass your assumption regarding refinance is too deterministic. We have mortgages over a decade old ...

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Tools to measure the randomness of database
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Computer programmers use the NIST test Suite to evaluate the quality of pseudo-random number generators. I've been interested in using it to test market data for periods of stability (represented by ...

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What is the industry standard for annualizing returns over non-contiguous time periods?
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What happened to the cash in the intervening periods? Was it in a mattress somewhere or in the money market in some form? The problem to me appears less you have these gaps but you only want to ...

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Why do prices/volatilitie differ from those prediced by models, if the models are used for pricing?
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The prices come from the market. One common source is Reuters. For items not traded in open markets you might assemble a set of bids from various counter parties. Volatilities are derived from the ...

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