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An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve

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  • Huang, Dashan
  • Kai, Yoshitaka
  • Fabozzi, Frank J.
  • Fukushima, Masao

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  • Huang, Dashan & Kai, Yoshitaka & Fabozzi, Frank J. & Fukushima, Masao, 2007. "An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve," European Journal of Operational Research, Elsevier, vol. 177(2), pages 1134-1152, March.
    • Handle: RePEc:eee:ejores:v:177:y:2007:i:2:p:1134-1152
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    References listed on IDEAS

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    1. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    2. Kau, James B, et al, 1992. "A Generalized Valuation Model for Fixed-Rate Residential Mortgages," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 24(3), pages 279-299, August.
    3. Kau, James B. & Keenan, Donald C. & Muller III, Walter J. & Epperson, James F., 1995. "The Valuation at Origination of Fixed-Rate Mortgages with Default and Prepayment," The Journal of Real Estate Finance and Economics, Springer, vol. 11(1), pages 5-36, July.
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    Cited by:

    1. Dror Parnes, 2015. "Dynamic risk model for CMO with credit tranching," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(04), pages 1-15, December.
    2. Poulsen, Rolf & Rasmussen, Kourosh Marjani, 2008. "Financial Giffen goods: Examples and counterexamples," European Journal of Operational Research, Elsevier, vol. 191(2), pages 572-576, December.

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