Wyniki wyszukiwania:

Frank Fabozzi and Chuck Ramsey update their treatise on nonagency mortgage backed securities in this third edition of The Handbook of Nonagency Mortgage Backed Securities. Focused on an important investing area that continues to grow, this book provides comprehensive coverage of all aspects of this specialized market sector, including the mortgage-related asset-backed securities market and commercial mortgage-backed securities. There is information on raw products, such as jumbo loans, alternative A mortgages, and 125 LTV mortgages, as well as structured products, analytical techniques,...

In this book, we consider the static problem of portfolio selection in highly volatile markets. From the point of view of risk forecasting, we focus on expected tail loss (ETL) and the more general family of spectral risk measures when the underlying distribution is heavy-tailed. From an optimization perspective, we concentrate on objectives of reward-risk ratio type and how the optimization problem can be simplified depending on the properties of the risk and the reward measures. Finally, we explore the impact of a risk forecasting model, that is a combination of a distributional assumption...