Implied prepayments: Addressing anomalies in modeling MBS value and risk

Journal of Portfolio Management

Volumn 23, Issue 1, 1996, Pages 107-115

  Cheyette, Oren ^a  

^a MSCI Barra Inc   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030637491     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.1996.409575     Document Type: Article

References (6)

1. Chen, S. "Implied Prepayments: A New Perspective on Mortgage-Backed Securities Analysis." Working paper, Fischer Francis Trees and Watts, 1996a.
2. -. "Understanding Option-Adjusted Spreads: The Implied Prepayments Hypothesis." Journal of Portfolio Management, Summer 1996b.
3. Cheyette, O. "OAS Analysis for CMOs." Journal of Portfolio Management, Summer 1994.
4. Jarrow, R., D. Lando, and S. Turnbull. "A Markov Model for the Term Structure of Credit Risk Spreads." Working paper, Cornell University, 1995.
5. Kahn, R. "Fixed-Income Risk Modeling for the '90s." Journal of Portfolio Management, Fall 1995.
6. "The New BARRA Fixed Rate Prepayment Model." BARAA Newsletter, Spring 1996.