Working Paper 15-3: Additional Market Risk Shocks: Prepayment Uncertainty and Option-Adjusted Spreads
FHFA
Description
Levin, Alexander and Andrew Davidson, (2005) “Prepayment Risk- and Option-Adjusted
Valuation of MBS,” The Journal of Portfolio Management, Vol. 31, No. 4, pp. 73-85.
Levin, Alexander and Andrew Davidson, (2008) “The Concept of Credit OAS in Valuation of
MBS,” The Journal of Portfolio Management, Vol.
34, No. 3, pp. 41-55. Mason, Joseph and Josh Rosner, (2007) “Where Did the Risk Go? How Misapplied Bond Ratings Cause Mortgage Backed Securities and Collateralized Debt Obligation Market Disruptions,” Working Paper. Pritsker, Matthew, (2006) “The Hidden Dangers of Historical Simulation,” Journal of Banking and Finance, Vol.
30, pp. 561-582. Shleifer, Andrei, Inefficient Markets: An Introduction to Behavioral Finance, New York: Oxford University Press, 2000. 24 .
34, No. 3, pp. 41-55. Mason, Joseph and Josh Rosner, (2007) “Where Did the Risk Go? How Misapplied Bond Ratings Cause Mortgage Backed Securities and Collateralized Debt Obligation Market Disruptions,” Working Paper. Pritsker, Matthew, (2006) “The Hidden Dangers of Historical Simulation,” Journal of Banking and Finance, Vol.
30, pp. 561-582. Shleifer, Andrei, Inefficient Markets: An Introduction to Behavioral Finance, New York: Oxford University Press, 2000. 24 .
