Alternative income and negative duration
strategies can provide additional support if the market environment does not pan out as planned.
We then discuss how negative duration
dependence, that is, the apparent decline in job finding rates with the length of time unemployed, affects long-term unemployment.
In addition to a core of motivated sellers, MSRs offer negative duration
attributes (yields increase as rates increase) and correlation to the improving US housing market (as defaults decrease, the return profile of MSRs improves).
On the other hand, decreasing [gamma] suggests a baseline hazard with negative duration
For Minerd, there is value in "floating rate asset-backed securities (ABS) and, specifically, collateralized loan obligations that have negative duration
, causing them to rise in price when rates increase."
In case of an interest rate hike, the negative duration
effect should be relatively small, so the credit quality cushion will likely be sufficient to make the next investment decision, while decent liquidity should allow the rapid closing of a position if needed.
The amplitude, or strength of the blast; the positive duration or the length of the wave as it rises above the atmospheric pressure; and the negative duration
, how long the wave lasts as it falls below atmospheric pressure.
A negative duration
coupled with a negative reserve implies that increases in the interest rate will decrease the policy reserve, which is inferred from Equation (5):
They provide the positive duration and positive convexity needed to offset the negative duration
and negative convexity of mortgage servicing, says Shaiman.
Likewise, negative duration
dependence indicates that the longer a family occupied a state, the less likely they are to exit the state.
Both the employment duration hazard and the unemployment duration hazard exhibit negative duration
dependence, although it is not significant in the latter.
Similarly, a negative duration
dependence, depicted by [Alpha] [less than] 1, indicates that as a cyclical phase grows "older" its likelihood of termination decreases.