"B2 Welcomes a New Asset Class with Open ARMS", Barra Newsletter, Fall 1995, p5
Topic: Investing (Investment Management) |
Asset Class: Fixed Income
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Adjustable Rate Mortgage-backed Securities (ARMS) are a large and increasingly popular segment of the U.S. bond market. On August 1, 1995, ARMS became a part of B2's database, and are now comprehensively modeled for risk and valuation analysis. The three general thrusts of this paper will be to: Give an overview of the ARMS market; Describe some of the structural properties of ARMS, and; Illustrate some of B2's functionality related to this new asset class.
Publication:
Authors: CHOI Sam
"U.S. B2 Adds Asset-Backed Securities", Barra Newsletter, Winter 1994, p1
Topic: Factor and Risk Modeling |
Asset Class: Fixed Income
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Barra has developed an asset-backed securities (ABS) model and database for use in U.S. B2. The ABS model is targeted for release in January, 1994 and will include credit card, automobile, home equity loan and other securitized receivable issues. The new database will cover about 450 issues in the initial release and another 180 soon after. This article describes the asset-backed securities market, introduces the primary ABS deal structures, and briefly presents the practical implementation of the ABS model in Barra's U.S. B2 product.
Publication:
Authors: CHOI Sam, WILSON Pete
"An Improved Way to Model Prepayments", Barra Newsletter, Summer 1994, p1
Topic: Asset Pricing and Valuation |
Asset Class: Fixed Income
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Barra has developed an accurate short-term prepayment model and combined it with an existing longer-term prepayment model. Clearly, implementing this short-term component to Barra's prepayment model dramatically improves its overall prepayment forecasts. In addition, it is imperative to adroitly integrate this component without jeopardizing the long-term conditional forecasting required for OAS analysis. The end product is an improved prepayment model that fits within the framework of traditional OAS analysis of mortgage-backed securities.
Publication:
Authors: CHOI Sam
