Capturing Credit and Actuarial Risk

Adam Buresh

Market Minute

March 30, 2017

Adam lays out how to analyze risks that are not connected to interest rates. First, he runs a sample analysis illustrating how to capture credit risk. Then, he shows how to use that method for analyzing actuarial prepayment risk for HECMs. By understanding and quantifying non-rate related risks and the reward investors are paid for taking them on, they have potential to make better decisions in the bond portfolio and across the balance sheet.