Answer-first summary for fast verification
Answer: b) Not really pricing model
**Answer: B) Not really pricing model** This is the **EXCEPT** choice because implied MBS models are, in fact, intended to be pricing-oriented: they infer cash flows or sensitivities from observed market prices. The other items are real drawbacks: - They may **not capture abrupt duration changes** well. - **Recent implied sensitivities may be misleading** if current market conditions are unusual. - The model framework may be limited in how it uses or interprets **historical price/rate data**.
Author: Manit Arora
Ultimate access to all questions.
Q-53.4 According to Tuckman, IMPLIED MBS models have each of the following drawbacks EXCEPT FOR:
A
a) Cannot use historical price/rate data
B
b) Not really pricing model
C
c) May not capture abrupt duration changes
D
d) Recent implied sensitivities may be misleading
No comments yet.