Bulletins

  1. Bulletin 1 - The Risk of Funding Fixed Rate Mortgages with Deposits /Yield Curve Movements /IRR Reports
  2. Bulletin 2 - Key Rate Duration and Non-Parallel Yield Curve Movement /Yield Curve Historical Movements /Getting Started -the Task Manager
  3. Bulletin 3 - Convexity and Interest Rate Volatilities /Black Volatility Surface for 06/06 /View Term Structure of Rates and Volatilities
  4. Bulletin 4 - Intangibles of Funding Liabilities /Mortgage OAS Values /Simulate Profits - Customized Yield/Volatility Term Structure
  5. Bulletin 5 - Mortgage Servicing – the IO Risk /Implied Volatilities /Speeding up The Task Function by Merging
  6. Bulletin 6 - Return Attribution - Retrospective Analysis /Prepayment Speed /XML Portfolio
  7. Bulletin 7 - Structured Advances Put Option Value /Structured Advances OAS /XML Import File
  8. Bulletin 8 - NPV Distribution Decomposition /Interest Rate Correlations for Simulations /VaR Analysis
  9. Bulletin 9 - Hedging the Funding Cost Using Floors /Cap/Floor Black Volatility Curve /Do Cap/Floor/Collar Calculations
  10. Bulletin 10 - Generalized Ho-Lee Model /Prospective Analysis - NPV Value Distribution /Generating Prospective Analysis
  11. Bulletin 11 - Linear Path Space (LPS) Methodology /Hybrid ARMs Valuation /Analyze Hybrid ARMs
  12. Bulletin 12 - Generalized Ho-Lee Two Factor Model /PO&IO Valuation Based on Generalized Ho-Lee 1&2 Factor Models /Key Rate Duration Report
  13. Bulletin 13 - Hybrid ARMs Prepayment Model /Hybrid ARMs and IO Valuation /Interest Rate Risk Report for Multiple Cycles
  14. Bulletin 14 - Option ARMs Cashflows /Option ARMs Valuation /Duration Trend Comparison Report
  15. Bulletin 15 - CMOs Cashflows / CMOs Valuation / Net Interest Income Stress Test Analysis Report
  16. Bulletin 16 - Basel II Requirement /Risk Drivers /Basel Report
  17. Bulletin 17 - Corporate Bond Valuation /Corporate Spread /Gain/Loss Stress Test Report
  18. Bulletin 18 - Prospective Analysis – Credit Risk /Credit Spread of the Fixed-Rate Mortgage /Prospective Analysis Report
  19. Bulletin 19 - Flow of Risks
  20. Bulletin 20 - Risk Accounting and the Financial Statements /Financial Statement Reports
  21. Bulletin 21 - Key Rate Vega / Volatility Risk of Callable Bonds / Portfolio Analytics Reports
  22. Bulletin 22 - Defaulted Dollars and the Credit Spread/Guarantee Fees of Fixed Rate Mortgage Loans
  23. Bulletin 23 - Multi-Family Mortgage Loans
  24. Bulletin 24 - Net Interest Income
  25. Bulletin 25 - OTR/Futures Basis Trade(Interday)
  26. Bulletin 26 - OTR/Futures Basis Trade (Intraday)
  27. Bulletin 27 - Futures Calendar Trade
  28. Bulletin 28 - Cointegration analysis of interday trading
  29. Bulletin 29 - Cointegration analysis of FVM0 - 5 ys OTR basis trade on 3/25/2010, the auction day
  30. Bulletin 30 - Cointegration analysis of TYM0 -7 ys OTR basis trade on 4/16/2010, the Goldman Sachs news day
  31. Bulletin 31 - Delivery Option decomposition analysis
  32. Bulletin 32 - Tail Risk of the Basis Trade - discover and demonstrate how to capture profit potential in volatile markets
  33. Bulletin 33 - Managing Interest Rate Risk Using a Butterfly Trade - compare with DV01 Hedge Ratio Trade
  34. Bulletin 34 - Manage Interest Rate Risk-THC Cointegration: Manage Value with Clarity
  35. Bulletin 35 - Basis Cheap/Rich