An Optimal Design of Collateralized Mortgage Obligation with PAC-Companion Structure using Dynamic Cash Reserve

• Main Authors: Dashan HUANG, FABOZZI, Frank, KAI, Yoshitaka, FUKUSHIMA, Masao
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2007
• 主題: Stochastic programming; Finance; Linear programming; Simulation; Finance and Financial Management
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/4777
• 機構: Singapore Management University

This paper presents a model for optimally designing a collateralized mortgage obligation (CMO) with a planned amortization class (PAC)-companion structure using dynamic cash reserve. In this structure, the mortgage pool’s cash flow is allocated by rule to the two bond classes such that PAC bondholde...