Risk Measurement of Mortgage-Backed Security Portfolios via Principal Components and Regression Analyses
Risk measurement of mortgage-backed security portfolios presents a very involved task for analysts and portfolio managers of such investments. A strong predictive econometric model that can account for the variability of these securities in the future would prove a very useful tool for anyone in th...
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Digital WPI
2003
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| Online Access: | https://digitalcommons.wpi.edu/etd-theses/490 https://digitalcommons.wpi.edu/cgi/viewcontent.cgi?article=1489&context=etd-theses |