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  1. JDGutzmann

    Hybrid ARM (adjustable-rate mortgages)

    Hello, I couldn't find a comprehensive thread on this topic yet so I am simply starting a new one. At the moment there is only one thing unclear to me: What do the fractions "2/28" and "3/27" stand for? Thanks in advance, Johannes
  2. JDGutzmann

    Volatility effect on bond yields (Tuckman, Chapter 8)

    Hello! (the following refers to the study notes on Tuckman, Chapter 8, pages 18 through 20) I find the volatility effect in the binomial trees that "pushes down" on the price a little confusing, from a mathematical point of view: As usual, we are assuming a yield volatility given by (semiannual)...
  3. JDGutzmann

    Usage Given Default < 1 ?

    Hi there, I would like to post the question of whether a UGD of less than 100% is plausible in the real world. So far, in any credit risk modelling that I came across, UGD was assumed to be exactly 100% (leaving aside confusing covenants), because as a debtor moves into default, she will "max...
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