Senior life settlements belong to the family of fixed income securities, however, because of the negative stream of cash flows generated by the payment of yearly premia p and the only one positive lump sum received at death of the senior life settler, contrary to the other fixed income...

Ortiz et al. [2008, 2009] develop models for portfolios of mortgage servicing rights (MSR) to be delta-hedged against interest rate risk. Their models rely on this fundamental relationship between prepayment rates (cpr) and interest rates, represented as a sigmoid function (S-shape). Defaults...

This paper examines the securitization of financial products that have both assets and liabilities, and that are affected by longevity risk. The longevity risk is what determines the magnitude of the assets and that of the liabilities embedded in the financial product to be securitized. Examples...

Purpose – The aim of this paper is to develop the optimal delta hedge for a portfolio of mortgage servicing rights (MSR) under the constraint of a zero-gamma in order to avoid costs related to the rebalancing of such portfolio. Design/methodology/approach – The paper develops the optimal...

A comprehensive guide to the continuously evolving world of securitization The Second Edition of The Securitization Markets Handbook is a valuable resource for both experienced money managers trying to put a securitization strategy into place as well as newcomers looking to acquire a broad and...

Asset backed commercial paper, or ABCP for short, is commercial paper that is issued by a special purpose corporation against undivided interests in corporate receivables, including retail, trade, or export receivables. Since the inception of the market in 1983, the volume of ABCP has grown to...

The model the authors present solves for the value of an incremental change in the mortgage contract given an expectation about the time the mortgage will be outstanding and a required return for this time span. The marginal value participants in the primary mortgage market place on the contract...