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Measuring Collateralized Mortgage Obligation Cash-Flow Variability: Regulatory Developments

were needed and what those scenados should be. A primary goal was to minimize the number of scenarios to ... later. Taking the absolute value means that I don't care if it's sooner or later. Either way, it is somethingthat ...
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Description: 1993 SOA Annual Meeting, New York. Insurance regulators commissioned a task force to develop cash-flow variability measurement standards. This session presented the recommendations of that task force and the relationship to cash-flow testing. Topics included: 1. The regulatory need and how the process was approached. 2. The types of CMO variability that the standards attempt to address. 3. A description of the scenario selection process that's used in this model. 4. The prepayment assumptions and the method to be used to collect prepayment data. 5. The relationship to cash-flow testing. 6. The regulators' reactions.
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- Authors: David A Hall, Andrew S Davidson, Christopher T Anderson, Michael H Siegel
- Date: Oct 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Asset modeling; Public Policy

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