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Module 7 of SFAcademy's Level 2 Bootcamp Series is now live.
In our newest Level 2 module, Agency RMBS Modeling, Risk & Derivatives, Bank of America's Chun Lin takes a deeper look at the forces shaping Agency RMBS performance and the analytical tools used to navigate an evolving market. The session explores how market participants assess changing conditions, manage uncertainty, and apply quantitative frameworks to better inform trading and investment decisions. This module is the second in a three-part series.
By the end of this session, you will:
- Understand MBS rate sensitivity and negative convexity driven by embedded borrower prepayment options.
- Construct hedges across rate, convexity, and volatility risks, balancing model-driven and empirical frameworks.
- Quantify relative value across ZVOAS, OAS, and Hedge-Adjusted Carry, while isolating performance drivers across curve, spread, and volatility movements.
Watch Module
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