Delta hedging of mortgageservicing portfolios under gamma constraints

Purpose Interest only strips are created by stripping the interest portion of cash flows generated in mortgagebacked securities or simply by servicing portfolios of mortgages. A number of financial institutions have significant amounts of mortgageservicing rights MSR which need to be delta dynamic h...

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Veröffentlicht in:	The journal of risk finance 2008-08, Vol.9 (4), p.379-390
Hauptverfasser:	Ortiz, Carlos E., Stone, Charles A., Zissu, Anne
Format:	Artikel
Sprache:	eng
Schlagworte:	Hedging Mortgage companies Services
Online-Zugang:	Volltext
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