OPTIMAL DESIGN OF PAC-COMPANION STRUCTURE FOR MORTGAGE BACKED SECURITIES USING CASH RESERVE
نویسندگان
چکیده
منابع مشابه
Optimal Design of PAC-Companion Structure for Mortgage Backed Securities Using Cash Reserve
Owing to the agentification of the Government Housing Loan Corporation, Japanese private financial institutions are now developing long-term fixed-rate loans. In order to reduce the risk of yielding mismatches between asset and liability, financial institutions will sell out their loans by securitization instead of holding loans themselves. Mortgage backed security (MBS) is a product of mortgag...
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ژورنال
عنوان ژورنال: Transactions of the Operations Research Society of Japan
سال: 2006
ISSN: 1349-8940,2188-8280
DOI: 10.15807/torsj.49.62