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Understanding and measuring risks in agency CMOs

Arcidiacono, Nicholas; Cordell, Larry; Davidson, Andrew S. - 2013

Persistent link: https://www.econbiz.de/10010197713

Mortgage valuation models : embedded options, risk, and uncertainty

Davidson, Andrew S.; Levin, Alexander - 2014

Persistent link: https://www.econbiz.de/10010395347

Analyzing specified MBS pools using agency enhanced data and active-passive decomposition

Szakallas, Dan; Levin, Alexander; Davidson, Andrew - In: The handbook of mortgage-backed securities, (pp. 623-644). 2006

Persistent link: https://www.econbiz.de/10003273999

Risk-neutral prepayment modeling and valuation with prOAS

Levin, Alexander; Davidson, Andrew - In: The handbook of mortgage-backed securities, (pp. 783-798). 2006

Persistent link: https://www.econbiz.de/10003274031

FIXED INCOME - Prepayment Risk- and Option-Adjusted Valuation of MBS

Levin, Alexander; Davidson, Andrew - In: The journal of portfolio management : a publication of … 31 (2005) 4, pp. 73-85

Persistent link: https://www.econbiz.de/10006545883

THE FIXED-INCOME MARKETS AND ANALYSIS - THE CONCEPT OF CREDIT OAS IN VALUATION OF MBS

Levin, Alexander; Davidson, Andrew - In: The journal of portfolio management : a publication of … 34 (2008) 3, pp. 41-55

Persistent link: https://www.econbiz.de/10008051301

Mortgage Valuation Models: Embedded Options, Risk, and Uncertainty

Davidson, Andrew; Levin, Alexander - Oxford University Press

Mortgage Backed Securities (MBS) are among the most complex of all financial instruments. Analysis of MBS requires blending empirical analysis of borrower behavior with mathematical modeling of interest rates and home prices. Over the past 25 years, Davidson and Levin have been at the leading...

Persistent link: https://www.econbiz.de/10010798492

The concept and measures of interest rate volatility

Levin, Alexander - 2008

Persistent link: https://www.econbiz.de/10003765526

Short-rate term structure models

Levin, Alexander - 2008

Persistent link: https://www.econbiz.de/10003765527

Active-passive decomposition in burnout modeling

Levin, Alexander - In: The journal of fixed income 10 (2001) 4, pp. 27-40

Persistent link: https://www.econbiz.de/10001580720

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