An Optimal Design of Collateralized Mortgage Obligation with PAC-Companion Structure using Dynamic Cash Reserve
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...
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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2007
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/4777 |
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| Institution: | Singapore Management University |
| Language: | English |