Xusheng Tian

Bloomberg L.P. - R&D

New York, NY

United States

  • Bloomberg L.P. - R&D

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Analysis of Mortgage Backed Securities: Before and after the Credit Crisis

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity; Bielecki, Tomasz,; Damiano Brigo and Frederic Patras, eds., February 2011
Number of pages: 42 Posted: 07 Jan 2007 Last Revised: 29 Jun 2018
Harvey J. Stein, Alexander L. Belikoff, Kirill Levin and Xusheng Tian
Two Sigma, Google Inc., Bloomberg Financial Markets (BFM) - Bloomberg LP and Bloomberg L.P. - R&D
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MBS, CMO, OAS, credit crisis, subprime crisis, interest rate modeling, rate, yield, yield curve, Gaussian, Monte Carlo, parallelization, GPU, CUDA, Markovian, mortgage, mortgage backed, collateralized mortgage obligation, collateralized, structured product, prepayment, prepayment modeling