TAILIEUCHUNG - Financial engineering principles part 9

Để cung cấp một ví dụ bên ngoài những nét rộng lớn hơn của các loại sản phẩm, hãy xem xét ảnh hưởng của tốc độ thanh toán trả trước khác nhau trên số dư nợ gốc cho một MBS. Hình 5,36 thể hiện một tập hợp các kịch bản để được xem xét. | Risk Management 233 Price TABLE Comparisen of Total Return Components for a One-Year Horizon Products Bonds Equities Currencies Cash flow End price Yes No No Cash flows Yes Yes Ị N A Reinvestment of cash flows No No N A To provide an example outside of the broader strokes of product types consider the effect of different prepayment speeds on the outstanding balance of principal for an MBS. Figure embodies a set of scenarios to be considered. As shown prepayment speeds can have a very important impact indeed on the valuation of an MBS and these speeds can vary from month to month. Just as these types of illustrations can be useful with evaluating the risk of a particular security they also can be used to evaluate the risk profile of entire portfolios. Another popular way to conceptualize the risks of a portfolio is with scenario analysis. Scenario analysis refers to evaluating a particular strategy and or portfolio construction by running it through all of its paces all the while taking 234 FINANCIAL ENGINEERING RISK MANAGEMENT AND MARKET ENVIRONMENT FIGURE Outstanding principal balances for a generic current coupon 30-year pass-thru. note of how total return evolves. For example for a proposed bond portfolio construction a portfolio manager might be interested in observing how total returns look on a six-month horizon if the yield curve stays relatively unchanged if the yield curve flattens or if the yield curve inverts. The total returns for these different scenarios then can be compared to the prevailing six-month forward yield curves and to the portfolio manager s own personal forecast should she have one and the proposed portfolio construction then can be evaluated accordingly. A variety of instrument types can be layered onto this core portfolio including futures and options so as to incorporate the latter. Additional scenarios or stress tests as they are sometimes called also might be performed that include different assumptions for volatility.

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