A theoretical and numerical analysis of collateralized mortgage obligations
Master thesis
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http://hdl.handle.net/11250/168119Utgivelsesdato
2008Metadata
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- Master Thesis [4298]
Sammendrag
This thesis approaches securitization of mortgage loans. In particular, the foremost objective
of the thesis is to conduct a theoretical examination of Collateralized Mortgage Obligations
(CMOs). The analysis of mortgages and mortgage-related securities gets complicated due to
uncertainty concerning the amount and timing of the prepayment element of cash flows from
mortgages. This thesis therefore examines how prepayments are dealt with in the valuation of
such securities. The thesis also conducts a numerical illustration of the state-of-the-art
valuation methodology – the Monte Carlo simulation model.