White Papers

		Research & Publications
		White Papers

We make the following quantitative research papers available to fixed income professionals free of charge; however, we do require that you provide us with some information. Please click here to register for a User ID. Your request will be forwarded to our publications department for prompt processing. If you are a BondEdge client, you may view all white papers in their entirety via the BondEdge Private Client Site.


A Quick Guide to Security Models in BondEdge® - 8/1/2007 TBAs and Dollar Rolls in BondEdge® - 10/1/2006 The Impact of Additional Loan Level and Market Data on the CMS BondEdge Fixed-Rate Prepayment Model - 4/12/2006 The Performance Attribution Methodology in BondEdge - 3/14/2006 Implications of Optimal Yield Curve Construction Techniques - 11/7/2005 Option-Adjusted Spreads and Default Probabilities for Corporate Bonds: Observations on the Investment Grade and High Yield Markets - 8/1/2005 Treasury Inflation Protection Securities (TIPS) Performance and Risk Trends 1997-2004 - 3/1/2005 Adjustable Rate Mortgages: Market Trends, Characteristics and Prepayment Modeling - 6/1/2004 A Quick Quide to Security Models in BondEdge - 7/1/2003 Developments in the CMS BondEdge Fixed Rate Prepayment Model - 2/25/2003 An Introduction to Credit Risk Modeling - 12/1/2002 Options on Futures - 11/2/2002 The New CMS BondEdge Mortgage Prepayment Model - 8/8/2002 Benchmarking Spread Products to the LIBOR Curve - 4/1/2002 The Global Tracking Error Analysis in BondEdge - 3/1/2002 CMS BondEdge Fixed Rate Mortgage Prepayment Model Update - 11/12/2001 Basics of TIPS - 10/1/2001 Evaluating Performance Against the Changing U.S. Bond Market - 10/1/2001 The CMS Fixed Rate Mortgage Prepayment Model - 8/1/2001 Mortgage Prepayment Model, Sensitivity Analysis and Model Risk - 4/1/2000 The General HJM Framework - 12/20/1999 Duration Bands: A New Approach to Measuring Mortgage Risks - 11/1/1999 Pricing Caps, Floors, and Collars in BondEdge - 9/9/1999 Estimating Credit Spread Risk Using Extreme Value Theory - 1/4/1999 Yield Curve Risk Factors: Domestic and Global Contexts - 12/9/1998 Global Bond Strategies and Currency Hedging (A Historical Analysis, 1973-1997) - 9/1/1998 Incorporating Real World Decision Rules and Population Dynamics in Behavioral Prepayment Modeling - 9/1/1998 Models for Security Analytics: Survey and Critique - 9/1/1998 Equilibrium Curvature - 1/20/1998 A Note On Representing Arbitrary Yield Curve Reshaping Sensitivities Using Key Rate Durations - 10/6/1997 An Overview of Municipal Yield Curve Strategies - 10/1/1997 The BondEdge ABS Prepayment Model - 7/31/1997 How Well Does A One-Factor Model Work? - 4/15/1997 Can You Derive Market Volatility Forecasts from the Observed Yield Curve Convexity Bias? - 4/8/1997 Understanding Home Equity Loan Prepayments - 3/20/1997 A Practical Guide to Relative Value for Mortgages - 2/28/1997 Evaluating A Fixed Rate Prepayment Model - 1/20/1997 Security Valuation in BondEdge - 11/8/1996 Beyond Duration: Dissecting Yield Curve Risk - 10/17/1996 Mobile Homes: A Prepayment Analysis Case Study - 10/14/1996 Interpreting and Using Advanced Risk Measures - 9/13/1996