Advances In The Valuation And Management Of Mortgage Backed Securities

Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
Page : 340 pages
File Size : 40,5 Mb
Release : 1999-01-15
Category : Business & Economics
ISBN : 188324952X

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Advances in the Valuation and Management of Mortgage-Backed Securities by Frank J. Fabozzi Pdf

Advances in the Valuation and Management of Mortgage-Backed Securities details the latest developments for valuing mortgage-backed securities and measuring and controlling the interest rate risk of these securities. Complete coverage includes: decomposition of mortgage spreads, MBS index replication strategies and market neutral strategies, Monte Carlo/OAS methodology, valuation of inverse floaters and ARMs, relative value analysis, and hedging mortgage instruments against level risk and yield curve risk.

Author : Andrew S. Davidson,Michael D. Herskovitz
Publisher : Irwin Professional Publishing
Page : 292 pages
File Size : 44,9 Mb
Release : 1994
Category : Business & Economics
ISBN : 1557384401

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Mortgage-backed Securities by Andrew S. Davidson,Michael D. Herskovitz Pdf

Author : Frank J. Fabozzi
Publisher : Oxford University Press
Page : 864 pages
File Size : 44,6 Mb
Release : 2016-08-11
Category : Business & Economics
ISBN : 9780191088773

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The Handbook of Mortgage-Backed Securities, 7th Edition by Frank J. Fabozzi Pdf

This edition of The Handbook of Mortgage-Backed Securities, the first revision following the subprime mortgage crisis, is designed to provide not only the fundamentals of these securities and the investment characteristics that make them attractive to a broad range of investors, but also extensive coverage on the state-of-the-art strategies for capitalizing on the opportunities in this market. The book is intended for both the individual investor and the professional manager. The volume includes contributions from a wide range of experts most of whom have been actively involved in the evolution of the mortgage-backed securities market.

Author : Andrew S. Davidson,Alexander Levin
Publisher : Financial Management Associati
Page : 465 pages
File Size : 49,7 Mb
Release : 2014
Category : Business & Economics
ISBN : 9780199998166

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Mortgage Valuation Models by Andrew S. Davidson,Alexander Levin Pdf

Mortgage-backed securities (MBS) are among the most complex of all financial instruments. Analysis of MBS requires blending empirical analysis of borrower behavior with the mathematical modeling of interest rates and home prices. Over the past 25 years, Andrew Davidson and Alexander Levin have been at the leading edge of MBS valuation and risk analysis. Mortgage Valuation Models: Embedded Options, Risk, and Uncertainty contains a detailed description of the sophisticated theories and advanced methods that the authors employ in real-world analyses of mortgage-backed securities. Issues such as complexity, borrower options, uncertainty, and model risk play a central role in the authors' approach to the valuation of MBS. The coverage spans the range of mortgage products from loans and TBA (to-be-announced) pass-through securities to subordinate tranches of subprime-mortgage securitizations. With reference to the classical CAPM and APT, the book advocates extending the concept of risk-neutrality to modeling home prices and borrower options, well beyond interest rates. It describes valuation methods for both agency and non-agency MBS including pricing new loans; approaches to prudent risk measurement, ranking, and decomposition; and methods for modeling prepayments and defaults of borrowers. The authors also reveal quantitative causes of the 2007-09 financial crisis and provide insight into the future of the U.S. housing finance system and mortgage modeling as this field continues to evolve. This book will serve as a foundation for the future development of models for mortgage-backed securities.

Author : Frank J. Fabozzi,Chuck Ramsey,Michael Marz
Publisher : John Wiley & Sons
Page : 532 pages
File Size : 48,5 Mb
Release : 2000-02-15
Category : Business & Economics
ISBN : 1883249686

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The Handbook of Nonagency Mortgage-Backed Securities by Frank J. Fabozzi,Chuck Ramsey,Michael Marz Pdf

Frank Fabozzi and Chuck Ramsey update their treatise on nonagency mortgage backed securities in this third edition of The Handbook of Nonagency Mortgage Backed Securities. Focused on an important investing area that continues to grow, this book provides comprehensive coverage of all aspects of this specialized market sector, including the mortgage-related asset-backed securities market and commercial mortgage-backed securities. There is information on raw products, such as jumbo loans, alternative A mortgages, and 125 LTV mortgages, as well as structured products, analytical techniques, prepayment characteristics, and credit issues. This fast-growing segment also includes nonagency pass through, nonagency collateralized mortgage obligations, home loan equity-backed securities, and manufacture housing loan backed securities.

Author : Frank J. Fabozzi,Anand K. Bhattacharya,William S. Berliner
Publisher : John Wiley & Sons
Page : 342 pages
File Size : 46,7 Mb
Release : 2010-12-30
Category : Business & Economics
ISBN : 9781118044711

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Mortgage-Backed Securities by Frank J. Fabozzi,Anand K. Bhattacharya,William S. Berliner Pdf

An in-depth look at the latest innovations in mortgage-backed securities The largest sector of the fixed-income market is the mortgage market. Understanding this market is critical for portfolio managers, as well as issuers who must be familiar with how these securities are structured. Mortgage-Backed Securities is a timely guide to the investment characteristics, creation, and analysis of residential real estate-backed securities. Each chapter contains cutting-edge information for investors, traders, and other professionals involved in this market, including discussions of structuring mortgage products-such as agency CMOs and new types of mortgages-and an in-depth explanation of the concept of option-adjusted spreads and other analytical concepts used to assess relative value.

Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
Page : 270 pages
File Size : 43,7 Mb
Release : 1999-05-15
Category : Business & Economics
ISBN : 1883249635

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Duration, Convexity, and Other Bond Risk Measures by Frank J. Fabozzi Pdf

Duration, Convexity and other Bond Risk Measures offers the most comprehensive coverage of bond risk measures available. Financial expert Frank Fabozzi walks you through every aspect of bond risk measures from the price volatility characteristics of option-free bonds and bonds with embedded options to the proper method for calculating duration and convexity. Whether you're a novice trader or experienced money manager, if you need to understand the interest rate risk of a portfolio Duration, Convexity and other Bond Risk Measures is the only book you'll need.

Author : Frank J. Fabozzi,John N. Dunlevy
Publisher : John Wiley & Sons
Page : 190 pages
File Size : 40,7 Mb
Release : 2001-07-02
Category : Business & Economics
ISBN : 1883249961

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Real Estate-Backed Securities by Frank J. Fabozzi,John N. Dunlevy Pdf

Real Estate-Backed Securities provides today's most concise yet comprehensive understanding of passive real estate investing. Issues discussed include agency passthrough securities and mortgage strips, agency collateralized mortgage obligations, nonagency residential MBS, commercial mortgage-backed securities, and more.

Author : Frank J. Fabozzi
Publisher : McGraw-Hill Education
Page : 0 pages
File Size : 40,5 Mb
Release : 2006-01-11
Category : Business & Economics
ISBN : 0071460748

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The Handbook of Mortgage-Backed Securities by Frank J. Fabozzi Pdf

The definitive MBS guide, with fully updated material on the latest mortgage-backed products, methods, models, and portfolio strategies By providing hands-on information vital to market participants, previous editions of The Handbook of Mortgage-Backed Securities were instrumental in fueling the growth of the mortgage-backed securities market. The sixth edition contains all the elements that made previous editions so successful and influential, and provides you with more than 25 new chapters on topics including collateralized mortgage obligations, prepayment derivatives, loan level determinants of repayments, new approaches to MBS valuation, and a survey of non-U.S. mortgage rates.

Author : Gerald W. Buetow,Frank J. Fabozzi
Publisher : John Wiley & Sons
Page : 258 pages
File Size : 52,7 Mb
Release : 2000-06-15
Category : Business & Economics
ISBN : 1883249899

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Valuation of Interest Rate Swaps and Swaptions by Gerald W. Buetow,Frank J. Fabozzi Pdf

Among the major innovations in the financial markets have been interest rate swaps and swapations, instruments which entail having an arrangement to barter differently structured payment flows for a particular period of time. These instruments have furnished portfolio and risk managers and corporate treasurers with a better tool for controlling interest rate risk. Valuation of Interest Rate Swaps and Swapations explains how interest rate swaps are valued and the factors that affect their value-an ideal way to manage interest or income payments. Various valuations approaches and models are covered, with special end-of-chapter questions and solutions included.

Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
Page : 580 pages
File Size : 41,7 Mb
Release : 2001-04-15
Category : Business & Economics
ISBN : 1883249910

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Bond Credit Analysis by Frank J. Fabozzi Pdf

Credit analysis is an important factor in judging investment value. Fundamentally sound credit analysis can offer more insight into the value of an investment and lead to greater profits. This study presents a professional framework for understanding and managing a successful corporate or municipal bond analysis, while providing informative case studies from well-known private and government organizations.

Author : James Sagner
Publisher : John Wiley & Sons
Page : 160 pages
File Size : 46,6 Mb
Release : 2001-06
Category : Business & Economics
ISBN : 1883249988

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Investing in the New Economy by James Sagner Pdf

Investors depending on obsolete, "old economy" strategies are often unprepared for the challenges of today’s eCommerce, quarterly results-driven environment. Investing in the New Economy is an essential guide for anyone holding or considering investing in stocks, as it shows why old economy practices will not work and why conceptions of rational stock market analysis must be altered. Author James Sagner demonstrates how to use updated techniques and methods to analyze stock market theories, determine winners and losers, and compile a lifetime portfolio built for optimum success.

Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
Page : 252 pages
File Size : 43,8 Mb
Release : 2001-05-02
Category : Business & Economics
ISBN : 1883249929

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Accessing Capital Markets through Securitization by Frank J. Fabozzi Pdf

This innovative collection, written by securitization professionalsand edited by finance guru Frank Fabozzi, thoroughly explains thebasics and the mechanics of securitization and shows howsecuritization can help more institutions offer innovativefixed-income products. Further, it discusses the effects of the capital markets onsecuritization and helps financial professionals decide whether ornot to securitize. Filled with strategies and techniques, financialprofessionals will learn how to use float asset-backed offeringsand how to hedge against risk and default.

Author : Frank J. Fabozzi, CFA,Steven V. Mann
Publisher : John Wiley & Sons
Page : 354 pages
File Size : 40,7 Mb
Release : 2001-05-15
Category : Business & Economics
ISBN : 1883249945

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Introduction to Fixed Income Analytics by Frank J. Fabozzi, CFA,Steven V. Mann Pdf

The expanding variety of fixed income vehicles, in addition to their increasing intricacy, has generated difficulties for finance managers and investors in determining accurate valuations and analyses. Introduction to Fixed Income Analytics has proven to be today's most complete reference on the subject through its revolutionary insights into the time value of money and its techniques for estimating yield volatility, as well as for analyzing valuations, yield measures, return, risk, and more.

Author : Frank J. Fabozzi,James L. Grant
Publisher : John Wiley & Sons
Page : 304 pages
File Size : 49,8 Mb
Release : 2000-06-15
Category : Business & Economics
ISBN : 1883249767

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Value-Based Metrics by Frank J. Fabozzi,James L. Grant Pdf

Investors, shareholders, and corporate leaders looking for an edge in today's New Economy are moving beyond traditional accounting yardsticks toward new means of gauging performance and profitability. An increasing number of Wall Street analysts and corporate boards are adopting value-based metrics such as EVA, MVA, and CFROI as a measure of a firm's profitability because these standards adjust for all of the firm's cost of capital - equity as well as debt. James Grant tackled the issue of economic value added in its infancy with Foundations of Economic Value Added - one of the first primers on the topic, endorsed by its creator, G. Bennett Stewart. Now, in Value Based Metrics: Foundations and Practice, he and Frank Fabozzi head a team of some of the leading proponents of value based metrics on both the investment management side and the corporate side. This comprehensive reference outlines how corporations and analysts can use value based metrics to more accurately measure the financial performance of individual companies, industries, and economies, as well as how to get an edge in today's turbulent market.