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Practical Asset/Liability Modeling for CMOs
relatively fiat yield curve environment. It has 17 tranches, far below the greatest number I have seen ... level-prepayment scenarios. You can see (Chart 17) that, in a base case assumption of 165% PSA, there ...- Authors: Randall Boushek, David A Hall
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Finance & Investments>Asset liability management; Finance & Investments>Investments
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CMO Boot Camp: In the Tranches
slow prepayment sp,~l. In the next example (Chart 17), you can see what the overlay of a "90-300% PAC" ... (outside the protected collar). 144 .CHART 17 Simple PAC Structure Building a 90-300% PSA PAC ...- Authors: Randall Boushek, David A Hall
- Date: Jan 1991
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments>Investments
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Asset Prepayment Assumptions for Regulatory Cash-flow Testing
Asset Prepayment Assumptions for Regulatory Cash-flow Testing 1993 SOA Annual Meeting, New York. ... 7'm _ 12'm 1_ _ _ _ Tote tq.'m_t% C') _$ 0 11 1 17 20 68 6 6 26 71 7 226 25.T1% O 0 6 4 36 46 80 25 ...- Authors: Randall Boushek, Dale P Westhoff, John V Malvey
- Date: Oct 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Investments
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Foreign Currency Swaps
Foreign Currency Swaps This session at the SOA 1990 Hartford Spring Meeting presents an ... management concerns. Case study 1 is illustrated in Chart 17. This is an example of investment yield enhance- ...- Authors: Randall Boushek, Patti Owens, Joseph C Lau, Michael B Murdoch
- Date: Apr 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Derivatives