Valuation of mortgage-backed securities using Brownian bridges to reduce effective dimension

1997 ◽  
Vol 1 (1) ◽  
pp. 27-46 ◽  
Author(s):  
Russel Caflisch ◽  
William Morokoff ◽  
Art Owen
Keyword(s):  
Effective Dimension ◽  
Brownian Bridges ◽  
Mortgage Backed Securities

Valuing Canadian Mortgage-Backed Securities

1989 ◽  
Vol 45 (3) ◽  
pp. 55-60 ◽  
Author(s):  
Phelim P. Boyle
Keyword(s):  
Mortgage Backed Securities

Incentives and Mortgage-Backed Securities Ratings

2009 ◽  
Author(s):  
Adam B. Ashcraft ◽  
Paul Goldsmith-Pinkham ◽  
James I. Vickery
Keyword(s):  
Mortgage Backed Securities

scholarly journals Energy loss separation in NiFeMo compacts with smoothed powders according to Landgraf’s and Bertotti’s theories

2021 ◽  
Author(s):  
Denisa Olekšáková ◽  
Peter Kollár ◽  
Miloš Jakubčin ◽  
Ján Füzer ◽  
Martin Tkáč ◽  
...  
Keyword(s):  
Energy Loss ◽  
Mechanical Treatment ◽  
Positive Impact ◽  
Core Loss ◽  
Low Frequency ◽  
Treatment Method ◽  
Effective Dimension ◽  
Loss Analysis ◽  
Innovative Method ◽  
Individual Particles

AbstractThis submitted paper presents the detailed description of the energy loss separation for dc and ac low-frequency magnetic fields of NiFeMo (supermalloy) compacted powder prepared by innovative method of smoothing the surfaces of individual particles. The positive impact of mechanical treatment method on domain wall displacement is explained on the basis of Landgraf approach for dc loss analysis, and the effective dimension for eddy current in ac magnetic field is explained according to Bertotti approach for core loss analysis.

scholarly journals Do investors value frequent issuers in securitization?

2021 ◽  
Author(s):  
Solomon Y. Deku ◽  
Alper Kara ◽  
Nodirbek Karimov
Keyword(s):  
Financial Crisis ◽  
Foreign Banks ◽  
Yield Spread ◽  
Information Asymmetries ◽  
Crisis Period ◽  
Credit Quality ◽  
Initial Yield ◽  
Mortgage Backed Securities ◽  
Lending Standards ◽  
Credit Cycle

AbstractWe assess the value of frequent issuers to investors in securitization markets by examining the initial yield spread of 6132 European mortgage-backed securities (MBS), covering a 20-year period between 1999 and 2018. We find that frequent issuers have certification value, and it increases as the credit cycle approaches its peak, as lending standards loosen, and information asymmetries in securitization markets increase. Investors value frequent issuers more favourably on riskier, difficult to evaluate MBS. We find that after the great financial crisis (GFC), investors began to attribute more value to frequent issuers, regardless of MBS credit quality. We also find that in the pre-crisis period, investors required higher yields to compensate for perceived rating shopping, which is not observed after the GFC. Finally, we show that investors expect higher yields on deals closed by subsidiaries of foreign banks.

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