Mortgage Valuation Models

Author : Andrew S. Davidson,Alexander Levin
Publisher : Financial Management Associati
Page : 465 pages
File Size : 44,6 Mb
Release : 2014
Category : Business & Economics
ISBN : 9780199998166

Get Book

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 : Andrew S. Davidson,Alexander Levin
Publisher : Unknown
Page : 453 pages
File Size : 43,6 Mb
Release : 2014
Category : Mortgage-backed securities
ISBN : 0199363692

Get Book

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

Valuation of mortgage-backed securities (MBS) requires blending empirical analysis of borrower behaviour and mathematical modelling of interest rates and home prices, with recognition of various prices of risk and uncertainty. This book offers a detailed description of the sophisticated theories and advanced methods used for the real-world valuation of MBS.

Author : Glenn M. Schultz
Publisher : John Wiley & Sons
Page : 532 pages
File Size : 46,9 Mb
Release : 2016-01-19
Category : Business & Economics
ISBN : 9781119221500

Get Book

Investing in Mortgage-Backed and Asset-Backed Securities by Glenn M. Schultz Pdf

A complete guide to investing in and managing a portfolio of mortgage- and asset-backed securities Mortgage- and asset-backed securities are not as complex as they might seem. In fact, all of the information, financial models, and software needed to successfully invest in and manage a portfolio of these securities are available to the investment professional through open source software. Investing in Mortgage and Asset-Backed Securities + Website shows you how to achieve this goal. The book draws entirely on publicly available data and open source software to construct a complete analytic framework for investing in these securities. The analytic models used throughout the book either exist in the quantlib library, as an R package, or are programmed in R and incorporated into the analytic framework used. Examines the valuation of fixed-income securities—metrics, valuation framework, and return analysis Covers residential mortgage-backed securities—security cash flow, mortgage dollar roll, adjustable rate mortgages, and private label MBS Discusses prepayment modeling and the valuation of mortgage credit Presents mortgage-backed securities valuation techniques—pass-through valuation and interest rate models Engaging and informative, this book skillfully shows you how to build, rather than buy, models and proprietary analytical platforms that will allow you to invest in mortgage- and asset-backed securities.

Author : Maurizio d'Amato,Tom Kauko
Publisher : Springer
Page : 418 pages
File Size : 44,5 Mb
Release : 2017-01-28
Category : Technology & Engineering
ISBN : 9783319497464

Get Book

Advances in Automated Valuation Modeling by Maurizio d'Amato,Tom Kauko Pdf

This book addresses several problems related to automated valuation methodologies (AVM). Following the non-agency mortgage crisis, it offers a variety of approaches to improve the efficiency and quality of an automated valuation methodology (AVM) dealing with emerging problems and different contexts. Spatial issue, evolution of AVM standards, multilevel models, fuzzy and rough set applications and quantitative methods to define comparables are just some of the topics discussed.

Author : John Krainer
Publisher : DIANE Publishing
Page : 45 pages
File Size : 44,8 Mb
Release : 2010-10
Category : Law
ISBN : 9781437933840

Get Book

Mortgage Default and Mortgage Valuation by John Krainer Pdf

The authors develop an equilibrium valuation model that incorporates optimal default to show how mortgage yields and lender recovery rates on defaulted mortgages depend on initial loan-to-value (LTV) ratios. The analysis treats both the frictionless case and the case in which borrowers and lenders incur deadweight costs upon default. The model is calibrated using data on California mortgages. Given reasonable parameter values, the model does a surprisingly good job fitting the risk premium in the data for high LTV mortgages. Thus, from an ex ante perspective, the authors do not find strong evidence of systematic underpricing of default risk in the run-up to the housing market crisis. Charts and tables.

Author : Chris Downing,Richard Stanton,Nancy Wallace
Publisher : Unknown
Page : 58 pages
File Size : 49,9 Mb
Release : 2003
Category : Default (Finance)
ISBN : CORNELL:31924097215622

Get Book

An Empirical Test of a Two-factor Mortgage Valuation Model by Chris Downing,Richard Stanton,Nancy Wallace Pdf

Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
Page : 530 pages
File Size : 40,5 Mb
Release : 2002-11-29
Category : Business & Economics
ISBN : 9780471446989

Get Book

Interest Rate, Term Structure, and Valuation Modeling by Frank J. Fabozzi Pdf

This ultimate guide contains an excellent blend of theory and practice This comprehensive guide covers various aspects of model building for fixed income securities and derivatives. Filled with expert advice, valuable insights, and advanced modeling techniques, Interest Rate, Term Structure, and Valuation Modeling is a book that all institutional investors, portfolio managers, and risk professionals should have. John Wiley & Sons, Inc. is proud to be the publisher of the esteemed Frank J. Fabozzi Series. Comprising nearly 100 titles-which include numerous bestsellers—The Frank J. Fabozzi Series is a key resource for finance professionals and academics, strategists and students, and investors. The series is overseen by its eponymous editor, whose expert instruction and presentation of new ideas have been at the forefront of financial publishing for over twenty years. His successful career has provided him with the knowledge, insight, and advice that has led to this comprehensive series. Frank J. Fabozzi, PhD, CFA, CPA, is Editor of the Journal of Portfolio Management, which is read by thousands of institutional investors, as well as editor or author of over 100 books on finance for the professional and academic markets. Currently, Dr. Fabozzi is an adjunct Professor of Finance at Yale University's School of Management and on the board of directors of the Guardian Life family of funds and the Black Rock complex of funds.

Author : Mary Lou Downie,Gill Robson,Council of Mortgage Lenders
Publisher : Unknown
Page : 78 pages
File Size : 45,9 Mb
Release : 2007-01-01
Category : Mortgage loans
ISBN : 1905257120

Get Book

Automated Valuation Models by Mary Lou Downie,Gill Robson,Council of Mortgage Lenders Pdf

Author : Andrew S. Davidson,Michael D. Herskovitz
Publisher : Irwin Professional Publishing
Page : 292 pages
File Size : 40,9 Mb
Release : 1994
Category : Business & Economics
ISBN : 1557384401

Get Book

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

Author : Frank J. Fabozzi, CFA
Publisher : John Wiley & Sons
Page : 408 pages
File Size : 46,5 Mb
Release : 1997-01-15
Category : Business & Economics
ISBN : 1883249171

Get Book

Advances in Fixed Income Valuation Modeling and Risk Management by Frank J. Fabozzi, CFA Pdf

Advances in Fixed Income Valuation Modeling and Risk Management provides in-depth examinations by thirty-one expert research and opinion leaders on topics such as: problems encountered in valuing interest rate derivatives, tax effects in U.S. government bond markets, portfolio risk management, valuation of treasury bond futures contract's embedded options, and risk analysis of international bonds.

Author : Andrew S. Davidson,Michael D. Herskovitz
Publisher : Unknown
Page : 0 pages
File Size : 49,9 Mb
Release : 1996
Category : Finansielle instrumenter
ISBN : 1557389152

Get Book

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

Author : Frank J. Fabozzi, CFA
Publisher : John Wiley & Sons
Page : 536 pages
File Size : 48,7 Mb
Release : 2002-11-01
Category : Business & Economics
ISBN : 0471220949

Get Book

Interest Rate, Term Structure, and Valuation Modeling by Frank J. Fabozzi, CFA Pdf

This ultimate guide contains an excellent blend of theory and practice This comprehensive guide covers various aspects of model building for fixed income securities and derivatives. Filled with expert advice, valuable insights, and advanced modeling techniques, Interest Rate, Term Structure, and Valuation Modeling is a book that all institutional investors, portfolio managers, and risk professionals should have. John Wiley & Sons, Inc. is proud to be the publisher of the esteemed Frank J. Fabozzi Series. Comprising nearly 100 titles-which include numerous bestsellers—The Frank J. Fabozzi Series is a key resource for finance professionals and academics, strategists and students, and investors. The series is overseen by its eponymous editor, whose expert instruction and presentation of new ideas have been at the forefront of financial publishing for over twenty years. His successful career has provided him with the knowledge, insight, and advice that has led to this comprehensive series. Frank J. Fabozzi, PhD, CFA, CPA, is Editor of the Journal of Portfolio Management, which is read by thousands of institutional investors, as well as editor or author of over 100 books on finance for the professional and academic markets. Currently, Dr. Fabozzi is an adjunct Professor of Finance at Yale University's School of Management and on the board of directors of the Guardian Life family of funds and the Black Rock complex of funds.

Author : Eric Shapiro,David Mackmin,Gary Sams
Publisher : Taylor & Francis
Page : 554 pages
File Size : 47,7 Mb
Release : 2013
Category : Architecture
ISBN : 9780080971162

Get Book

Modern Methods of Valuation by Eric Shapiro,David Mackmin,Gary Sams Pdf

The new and improved eleventh edition of this essential valuation textbook reflects the changes in the property market since 2009, whilst presenting the tried and tested study of the principles governing the valuation of land, houses and buildings of the previous editions. The eleventh edition is fully up-to-date with latest guidelines, statutes and case law, including the implications of the latest RICS Red Book and the Localism Act. Its comprehensive coverage of the legal, economic and technical aspects of valuation make this book a core text for most University and College Real Estate Programmes and to provide trainees (APC Candidates) and practitioners with current and relevant guidance on the preparation of valuations for statutory purposes. Over the twenty eight chapters, the author team of experienced valuation experts present detailed accounts of the application of these principles to the everyday problems met in practice. This new edition continues to be of excellent value to both students and practitioners alike as it provides the reader with a clear understanding of the methods and techniques of valuation.

Author : Manya M. Mooya
Publisher : Springer
Page : 185 pages
File Size : 52,9 Mb
Release : 2016-03-17
Category : Business & Economics
ISBN : 9783662491645

Get Book

Real Estate Valuation Theory by Manya M. Mooya Pdf

This monograph critically reviews and updates real estate valuation theory, which is based on neoclassical economics, in light of developments in heterodox economic theory. Building on a comprehensive historical account of the evolution of value theory, the book uses new institutional economics theory and critical realism as lenses through which problems in standard valuation theory and practice are expatiated, and as the foundation for an alternative theory. The new theory is employed to explain major problems in real estate valuation that are beyond the capability of the standard theory, such as price bubbles in real estate markets, anchoring bias, client influence and valuation under uncertain market conditions.

Author : William W. Bartlett
Publisher : McGraw-Hill Education
Page : 667 pages
File Size : 54,5 Mb
Release : 1993-12-22
Category : Business & Economics
ISBN : 1556239734

Get Book

The Valuation Mortgaged-Backed Securities by William W. Bartlett Pdf

Here is the first user-friendly guide to valuing mortgage-backed securities in the new prepayment environment. William Bartlett offers specific guidelines for making informed decisions, focusing on the questions to ask before pursuing high-stated yield with bond classes and derivatives that may not perform well in volatile markets. The Valuation of Mortgage-Backed Securties explores: the econometric models--such as prepayment and OAS models--used by Wall Street firms to project the performance of specific MBS bond types; the many varieties of mortgage-backed securities, including those with protection features against early prepayment, default, refinancing and first calls on cash flows; how to determine which MBS issue may be appropriate for a specific portfolio objective.