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Article Dans Une Revue Journal of fixed income Année : 2003

Market-Implied Losses and Non-Agency Subordinated MBS

Laurent Gauthier

Résumé

Market participants usually price new issue subordinated MBS in an ad hoc way that requires a lot of guessing and is subject to inconsistencies. An innovative method to value these securities uses market-implied loss distributions based on an analogy between derivatives products and non-agency subordinated bonds. Options are valued with implied volatilities, and subordinated MBS are valued with implied losses. This novel approach al-lows relative value analysis across the non-agency credit markets, and provides insight into some questions about the impact on fair value of subordination structural changes.
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Dates et versions

hal-04328853 , version 1 (07-12-2023)

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Citer

Laurent Gauthier. Market-Implied Losses and Non-Agency Subordinated MBS. Journal of fixed income, 2003, 13 (1), pp.49-74. ⟨10.3905/jfi.2003.319346⟩. ⟨hal-04328853⟩
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