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坏呼呼嘿嘿 · 2023年05月21日

mbs 为什么包含了 short volatility

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NO.PZ202209060200004406

问题如下:

Based on Choate’s final comments and the COF portfolio positions in Exhibit 1, Choate is most likely expecting:

选项:

A.improved real estate markets and higher interest rate volatility. B.lower interest rate volatility and increasing default correlations. C.lower interest rate volatility and decreasing default correlations.

解释:

Solution

B is correct. Choate expresses his belief that market expectations of interest rate volatility will decrease, so he buys agency MBS in the COF portfolio. The correlation of expected defaults on the collateral of a CDO affects the relative value between the senior and subordinated tranches; as default correlations increase, the value of mezzanine tranches usually increases relative to the value of senior tranches. Because he expects the correlation to be highly positive, he can try to profit by selling the lower yielding (or selling short) Class A and buying the higher yielding Class B.

A is incorrect because an investor buying MBS expects lower, not higher, volatility.

C is incorrect because an investor that expects higher correlations would short Class A and go long Class B.

如题

1 个答案

pzqa015 · 2023年05月21日

嗨,从没放弃的小努力你好:


MBS的底层资产是住房抵押贷款,住房抵押贷款的借款人有权提前偿还房贷,这会导致MBS也面临着早偿风险,这就类似callable bond的投资者面临发行人提前赎回债券的风险,callable bond=long option free bond+short call option,所以,MBS也short call option,而由于volatility变大long option,volatility变小short option,所以,一般我们也认为long option=long volatility。所以,MBS是short volatility。

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努力的时光都是限量版,加油!

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