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Financial engineering principles phần 7

Ba cơ quan chính của Hoa Kỳ tham gia với hỗ trợ thế chấp bao gồm Ginnie Mae, Fannie Mae và Freddie Mac.6 Mục đích chính của các tổ chức chính phủ để cung cấp sự đảm bảo và tin tưởng vào thị trường cho MBSs và các sản phẩm thế chấp khác. Bảng 4.3 tóm tắt sự khác biệt chính giữa một MBS và trái phiếu có thể được gọi. | 168 FINANCIAL ENGINEERING RISK MANAGEMENT AND MARKET ENVIRONMENT Modeling Conventions With nonbullet securities measuring duration is less of a science and more of an art. There are as many different potential measures for option-adjusted duration as there are option methodologies to calculate them. In this respect concepts such as duration buckets and linking duration risk to market return become rather important while these differences would presumably be consistent a model that has a tendency to skew the duration of a particular structure would be expected to skew that duration in the same way most of the time this may nonetheless present a wedge between index and portfolio dynamics. Option Strategies Selling writing call options against the underlying cash portfolio may provide the opportunity to outperform with a combination of factors. Neither listed nor over-the-counter OTC options are included in any of the standard fixed income indexes today. Although short call positions are embedded in callables and MBS pass-thrus making these de facto buy write positions the use of listed or OTC products allows an investor to tailor-make a buy write program ideally suited to a portfolio manager s outlook on rates and volatility. And of course the usual expirations for the listed and OTC structures are typically much shorter than those embedded in debentures and pass-thrus. This is of importance if only because of the role of time decay with a short option position a good rule of thumb is that time decay erodes at the rate of the square root of an option s remaining life. For example one-half of an option s remaining time decay will erode in the last one-quarter of the option s life. For an investor who is short an option speedy time decay is generally a favorable event. Because there are appreciable risks to the use of options with strategy building investors should consider all the implications before delving into such a program. Maturity and Size Restrictions Many .