Valuing MBSs and CMOs
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Date: 02-13-2006
Start Time:
6:00pm
End Time: 7:30pm
Speaker: Harvey Stein, Bloomberg LP
Location: 412 Schapiro CEPSR, Davis Auditorium
ABSTRACT
Mortgage back security valuation depends on a number of components including data gathering, curve handling, interest rate modeling, calibration, prepayment modeling, and a cashflow generation. Value is commonly expressed as a spread over a reference yield curve, known as the option adjusted spread, or OAS. We will describe the overall process of mortgage backed valuation, concentrating on recent developments.
BIO
Harvey Stein is the head of the Quantitative Finance Research and Development team at Bloomberg LP. Dr. Stein graduated from Worcester Polytechnic Institute in 1982 with a Bachelor's degree in mathematics. After working at BBN for three years on developing and designing the precursor to the Internet, Dr. Stein went to graduate school at the University of California, Berkeley, where he studied arithmetical geometry while working at Wells Fargo Investment Advisors. He worked at Bloomberg for the last twelve years developing valuation model for bonds with embedded options, mortgage backed securities, and other derivative securities, and building Linux clusters to supply these valuations to Bloomberg's customers.