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Keywords: CMO
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2012) 20 (4): 391–425.
Published: 30 November 2012
...Yun Woo Park; Doo Won Bang Residential mortgage loans as well as the MBS (mortgage-backed security), which securitizes these loans, are exposed to prepayment risk. We examine the effect of prepayment process on the duration of the CMO (multi-tranche MBS). In particular, we examine the effect...
