The techniques and securities used by mortgage banks to hedge mortgage pipeline risk PDF Download
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Author: David Rex Sebastian
Publisher:
ISBN:
Category : Mortgage banks
Languages : en
Pages : 136
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Book Description
Author: David Rex Sebastian
Publisher:
ISBN:
Category : Mortgage banks
Languages : en
Pages : 136
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Book Description
Author: Chung-Jui Wang
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Efficient execution is a significant task faced by mortgage bankers attempting to profit from the secondary market. The challenge of efficient execution is to sell or securitize a large number of heterogeneous mortgages in the secondary market in order to maximize expected revenue under a certain risk tolerance. We developed a stochastic optimization model to perform efficient execution that considers secondary marketing functionality including loan-level efficient execution, guarantee fee buy-up or buy-down, servicing retain or release, and excess servicing fee. The efficient execution model balances between the reward and downside risk by maximizing expected return under a CVaR constraint. The mortgage pipeline risk management problem investigated the optimal mortgage pipeline risk hedging strategy using 10-year Treasury futures and put options on 10-year Treasury futures as hedge instruments. The out-of-sample hedge performances were tested for five deviation measures, Standard Deviation, Mean Absolute Deviation, CVaR Deviation, VaR Deviation, and two-tailed VaR Deviation, as well as two downside risk measures, VaR and CVaR.
Author:
Publisher:
ISBN:
Category : Financial futures
Languages : en
Pages : 52
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Book Description
Author: Oleg V. Bychuk
Publisher: John Wiley & Sons
ISBN: 111808537X
Category : Business & Economics
Languages : en
Pages : 322
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Book Description
Identify and understand the risks facing your portfolio, how to quantify them, and the best tools to hedge them This book scrutinizes the various risks confronting a portfolio, equips the reader with the tools necessary to identify and understand these risks, and discusses the best ways to hedge them. The book does not require a specialized mathematical foundation, and so will appeal to both the generalist and specialist alike. For the generalist, who may not have a deep knowledge of mathematics, the book illustrates, through the copious use of examples, how to identify risks that can sometimes be hidden, and provides practical examples of quantifying and hedging exposures. For the specialist, the authors provide a detailed discussion of the mathematical foundations of risk management, and draw on their experience of hedging complex multi-asset class portfolios, providing practical advice and insights. Provides a clear description of the risks faced by managers with equity, fixed income, commodity, credit and foreign exchange exposures Elaborates methods of quantifying these risks Discusses the various tools available for hedging, and how to choose optimal hedging instruments Illuminates hidden risks such as counterparty, operational, human behavior and model risks, and expounds the importance and instability of model assumptions, such as market correlations, and their attendant dangers Explains in clear yet effective terms the language of quantitative finance and enables a non-quantitative investment professional to communicate effectively with professional risk managers, "quants", clients and others Providing thorough coverage of asset modeling, hedging principles, hedging instruments, and practical portfolio management, Hedging Market Exposures helps portfolio managers, bankers, transactors and finance and accounting executives understand the risks their business faces and the ways to quantify and control them.
Author: P. Fusaro
Publisher: Springer
ISBN: 0230510965
Category : Business & Economics
Languages : en
Pages : 395
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Book Description
This book focuses on the latest developments in the Asia-Pacific community in terms of how deregulation and privatization are bringing more risk to energy companies. In the light of these market changes, interest in energy risk management has grown substantially and is becoming a fiduciary responsibility of energy companies. As energy trading, power exchanges and hedging techniques establish themselves in the oil, power and gas sectors, so then do newer derivatives markets emerge in LNG hedging, weather derivatives and freight hedging. Fusaro and James, as seasoned market practitioners in the region, focus on these market changes and examine the future of Asian energy hedging.
Author: Brian Coyle
Publisher: Global Professional Publishi
ISBN: 9780852974452
Category : Business & Economics
Languages : en
Pages : 172
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Book Description
� Worked examples illustrating key points � Explanation of complex or obscure terms � Full glossary of terms The titles in this series, all previously published by BPP Training, are now available in entirely updated and reformatted editions. Each offers an international perspective on a particular aspect of risk management. Topics include interest-rate risk, identifying interest-rate exposures, hedging policy, forward rate agreements, structural hedging, and hedging with derivative instruments and interest-rate futures, options and swaps
Author: Arafat Aloqaily
Publisher: Gulf Professional Publishing
ISBN: 012816008X
Category : Technology & Engineering
Languages : en
Pages : 200
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Book Description
Cross Country Pipeline Risk Assessments and Mitigation Strategies describes the process of pipeline risk management and hazard identification, using qualitative risk assessment, consequence modeling/evaluation, pipeline failure rates, and risk calculations, as well as risk mitigation and control strategies. The book evaluates potential causes of pipeline failure in the oil and gas industry based on a wide range of data that cover more than 40 years of operating history. Additionally, it details a consistent approach that allows for proper estimation of potential risk and offers methods for mitigating this potential risk. This approach is then combined with consequence modeling to fully calculate the different forms of risk presented by pipelines. Cross Country Pipeline Risk Assessments and Mitigation Strategies is an essential resource for professionals and experts involved in pipeline design as well as researchers and students studying risk assessment, particularly in relation to pipelines. - Offers a practical risk assessment model for pipelines without the need for complicated, expensive software - Describes a new and systematic approach for pipeline risk control and mitigation that reflects actual pipeline conditions and operating status - Provides examples of all pipeline hazard identification techniques and how they are used to produce consistent results - Includes access to a newly developed Excel tool PipeFAIT for assessing pipeline risk
Author: W. Kent Muhlbauer
Publisher:
ISBN: 9781523102167
Category : Pipelines
Languages : en
Pages :
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Book Description
Author: Peter C. Fusaro
Publisher: McGraw Hill Professional
ISBN: 9780786311842
Category : Business & Economics
Languages : en
Pages : 290
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Book Description
Addressing the important issues of worldwide energy price risk management, this work assembles the leading industry figures to explain general theories and practices for hedging risk, and specific methods to effectively manage risk in markets such as coal, natural gas, electricity, and hydropower.
Author: W. Kent Muhlbauer
Publisher: Gulf Professional Publishing
ISBN: 0750675799
Category : Science
Languages : en
Pages : 415
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Book Description
Here's the ideal tool if you're looking for a flexible, straightforward analysis system for your everyday design and operations decisions. This new third edition includes sections on stations, geographical information systems, "absolute" versus "relative" risks, and the latest regulatory developments. From design to day-to-day operations and maintenance, this unique volume covers every facet of pipeline risk management, arguably the most important, definitely the most hotly debated, aspect of pipelining today. Now expanded and updated, this widely accepted standard reference guides you in managing the risks involved in pipeline operations. You'll also find ways to create a resource allocation model by linking risk with cost and customize the risk assessment technique to your specific requirements. The clear step-by-step instructions and more than 50 examples make it easy. This edition has been expanded to include offshore pipelines and distribution system pipelines as well as cross-country liquid and gas transmission pipelines. The only comprehensive manual for pipeline risk management Updated material on stations, geographical information systems, "absolute" versus "relative" risks, and the latest regulatory developments Set the standards for global pipeline risk management
