PT - JOURNAL ARTICLE AU - Eknath Belbase TI - Valuation of Structured Securities:<em>RMBS Case Study</em> AID - 10.3905/jsf.2012.18.3.077 DP - 2012 Oct 31 TA - The Journal of Structured Finance PG - 77--83 VI - 18 IP - 3 4099 - https://pm-research.com/content/18/3/77.short 4100 - https://pm-research.com/content/18/3/77.full AB - In this survey article, the author describes different approaches to the valuation and risk analysis of structured securities composed of heterogeneous individual loans. Such securities, including CMOs, CDOs, CLOs, and other ABS, have greatly grown in volume, complexity and type over the last few decades. Using credit-sensitive residential mortgagebacked securities (RMBS) as a focal point, he highlights key valuation concepts including static spread, market value, intrinsic value, and credit-adjusted option-adjusted spread and discuss how their use has evolved through the financial crisis.TOPICS: Security analysis and valuation, MBS and residential mortgage loans