Explain how the number of interest-rate paths used in the Monte Carlo simulation methodology is determined.
Answer to relevant QuestionsExplain why you agree or disagree with the following statement: “When the Monte Carlo simulation methodology is used to value a RMBS, a PSA assumption is employed for all interest-rate paths.” What are the complications of assessing the potential total return of a CMO tranched using the total return framework? Why is a pass-through security a path-dependent cash flow security? What is the difference between a busted convertible and a distressed convertible? When using the percentage change in the credit spread as a measure of the credit spread change, what assumption is being made?
Post your question