From Open Risk Manual


RMBS (Also: MBS) is the acronym of "residential mortgage backed security", a reference to a broad class of securities that package (bundle) large number of mortgages. The performance of the security is linked to the performance of the underlying loans in potentially quite intricate ways.


The main technique used in securitisation structures is the introduction of "tranches", that is distinct investable bond instruments whose access to the underlying pool cashflows is defined in a non-linear way.

The objective is to manage:

  • Prepayment risk
  • Credit risk


RMBS have seen large expansion in the US

Issues and Challenges


List of references (academic / other publications)

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