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商品編號: 9-221-010 出版日期: 2020/07/27 作者姓名: Siriwardane, Emil Nuwan;Viceira, Luis M.;Xu, Dean 商品類別: Finance 商品規格: 25p 再版日期: 地域: 產業: 個案年度: -
商品敘述:
In April 2020, global financial markets were still reeling as the COVID-19 pandemic spread rapidly across the world. Global equity markets had initially fallen by 30% in response to the pandemic, and high-yield credit markets had dropped by nearly 20%. In contrast, U.S. Treasury markets were up 20% year-to-date (YTD). Interestingly, the U.S. Mortgage Backed Security (MBS) market had been much less responsive to the health crisis, exhibiting very low volatility throughout this period and returning about 2% YTD. Maya Russell, head of asset allocation research at a large global institutional investor, must make a recommendation on whether her fund''s board should invest in MBS, and if so, whether this is a good time for the fund to implement the allocation and whether it should do so pursuing an active or a passive investment approach. This case covers a wide range of topics in fixed-income investing, including duration and interest rate risk, prepayment risk, mortgage securitization, and the design of mortgage-backed securities. These concepts are analyzed from the perspectives of both individual and professional investors in fixed-income and mortgage markets.
涵蓋領域:
Asset management;Decision making;Financial markets;Fixed income securities;Health and behavioral science;Resource allocation
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