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The
following is a list of articles that have appeared in "On The Edge,"
a bimonthly Interactive Data Fixed Income Analytics newsletter. We offer them here as a resource to
our clients and the fixed income community.
If you would like to submit an idea for a
topic in a future newsletter, send us an email.
Other
* Back-to-Basics series
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Fixed Income Theory
and Risk Management
- Advanced
Risk Measures and OAS - September, 1996
- Are
Investors Really "Risk-Neutral"? - July/August, 1998 *
- Choosing
a Mortgage Duration - Sep/Oct, 2001
- Convexity-Positive,
Negative, or Both? - Nov/Dec, 1998 *
- Convexity
Trades and Non-Parallel Duration - October, 1996
- Effective
Duration: Subtleties and Considerations -
Quarter 3, 2004
- Focus on Term Structure Models -
April, 2007
- Interpreting
Key Rate Durations - May/June, 1999
- Key Rate Durations - July, 2007 *
- Key Rate Durations - September/October, 2002 *
- Options
on Treasury Futures - March/April, 2002 *
- Option
Value and Zero Volatility Spreads - August, 1996
- Spread
Volatility and Correlations - March/April 2002
- Standard
Deviation - May/June, 2001*
- The Basics
of Credit Risk Modeling - December, 2002*
- The
Heath-Jarrow-Morton Interest Rate Model - Jan/Feb, 2000
- The Importance
of Correlation - March/April, 2000 *
- The Volatility
Surface - May/June, 2002 *
- Thinking
in Terms of Options - October, 1997 *
- Understanding
Convexity - March, 1997 *
- Understanding
OAS - February, 1997 *
- Understanding
Spread Duration*
- Understanding
Vega (volatility risk)-November 1997*
- Value at Risk
(Var) - July/August, 1999 *
- Volatility
and Option Valuation - August, 1996 *
- Volatility
Measures in BondEdge - Sep/Oct, 2001
- Which Duration
is Best? - March/April, 2001 *
MBS and ABS Markets
- ABS vs. CMO: What is the Difference?
-
April, 2008
- Commercial Mortgage-Backed Securities (CMBS)
-
May/June, 1999 *
- Dealer MBS Prepayment Estimates and Median
Values - Sep/Oct, 2001
- Forecasting Mortgage Rates in Today's Environment-
January/February, 2002
- Hel Credit Enhancement Techniques-
September/October, 2000
- Hybrid ARM Prepayments
- July, 2007
- Incorporating Real World Decision
Rules and Population Dynamics in Behavioral Prepayment Modeling
- Sep, 1998
- Prepayment Modeling Update
- November, 1996
- Prepayment Modeling Vocabulary - July,
1997 *
- Prepayment Uncertainty-Prepayment Model
Risk -
January, 1998
- Revised Fixed Rate Mortgage
Prepayment Model -
May/June, 1999
- Revision to GNMA Prepayment Assumptions
- March, 1998
- Part 2 - The New CMS Prepayment Model
Framework:
Analysis and Assumptions - July/August, 1999
- Valuing Mortgage Loan Portfolios in BondEdge
- Nov, 1996
- Why Do We Use "Monte Carlo" Simulations
- Sep, 1997*
Derivatives
International
Portfolio Management Tools
Other
- Bond Price Transparency - Jan/Feb, 1999 *
- FAS 157 - Fair Value Measurements
- April, 2008
- How to (Mis)manage a Municipal Bond Portfolio
- April, 1997
- Inflation-Linked Bond Update -
May, 1997
- Liability-Driven Investment (LDI) - November, 2006
- Liability-Driven Investment (LDI) - Market Feedback from Fixed Income Workshops - July, 2007
- Market Environment Observations-Year to Date 2001 -
May/June, 2001
- Municipal Markets - January, 2007
- Preferred stock - July/August, 2000 *
- Treasury Curves in BondEdge - July, 1996
- Valuation of Path-Dependent Securities - May/June, 2002
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