Riskless Arbitrage—Stand‐Alone Collateralized Mortgage Obligations (CMOs)

2014 ◽  
pp. 51-79
Keyword(s):  
Collateralized Mortgage Obligations

Valuation and Analysis of Collateralized Mortgage Obligations

1993 ◽  
Vol 39 (6) ◽  
pp. 692-709 ◽  
Author(s):  
John J. McConnell ◽  
Manoj Singh
Keyword(s):  
Collateralized Mortgage Obligations

Mortgage-Backed SecuritiesMortgage Pass-Through Securities

2019 ◽  
pp. 383-402
Author(s):  
Mingwei (Max) Liang ◽  
Milena Petrova
Keyword(s):  
Interest Rate ◽  
Financial Markets ◽  
Private Label ◽  
Residential Mortgage ◽  
Credit Risks ◽  
Mortgage Backed Securities ◽  
Investment Opportunities ◽  
Investment Tool ◽  
Pass Through ◽  
Collateralized Mortgage Obligations

Mortgage-backed securities (MBSs) have played an important role in the housing and financial markets, providing liquidity to mortgage originators, offering investment opportunities for investors, and helping to set minimum mortgage underwriting standards. This chapter provides an overview of MBSs as an investment tool by presenting an analysis of the MBS market, discussing the securitization process, describing the main MBS pool characteristics, and examining the different types of MBSs in terms of underlying loans (residential mortgage-backed securities and commercial mortgage-backed securities), maturity, interest rate terms, pass-through of interest and principal (pass-through securities versus collateralized mortgage obligations) and issuers (private-label versus agency MBS). The chapter also highlights the major risks inherent to MBSs, particularly prepayment and credit risks.

Dynamic risk model for CMO with credit tranching

2015 ◽  
Vol 02 (04) ◽  
pp. 1550041
Author(s):  
Dror Parnes
Keyword(s):  
Housing Market ◽  
Economic Crisis ◽  
Risk Model ◽  
Financial Instruments ◽  
Credit Quality ◽  
Dynamic Risk ◽  
Collateralized Mortgage Obligations ◽  
Theoretical Simulations ◽  
The U.S

In this paper, we present a dynamic risk model that can assess the stochastic credit quality of senior tranches of collateralized mortgage obligations (CMO) while supported by any number of junior bond classes. We design the model to be universal and to embed common hazards and retreats within the U.S. housing market. This deployment assists us in resolving real problems when gauging the dynamic creditworthiness of CMOs’ senior bond tranches. Resulting from our subsequent theoretical simulations, we discover the boundaries of these structured financial instruments when exposed to relatively modest probabilities of a broad economic crisis. We demonstrate that despite their diverse supportive structures, CMOs are not as protective as originally thought by many investors when a widespread housing calamity progresses.

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