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.
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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.
About the Author
Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and Adjunct Professor of Finance at Yale University's School of Management.
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Inside This Book
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First Sentence:
While demand from the various factions of the investor base affects MBS spreads, the investment actions of the agencies, namely Federal National Mortgage Association (FNMA) and Federal Home Loan Mortgage Corporation (FHLMC), are now the single largest determinants of MBS spreads with respect to the investment community. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
pathwise values, positive slope elasticity, static discount spread, curve slope exposure, detailed prepayment research, model valuation risk, negative slope elasticity, static return spread, callable tranches, prepayment derivative, average mortgage life, passthrough spreads, average life floater, prepayment rates increase, empirical hedge ratios, shocked paths, linear path space, call stipulation, yield curve flattens, proxy portfolio, prepayment model, yield curve slope, prepayment expectations, interest rate paths, yield curve risk Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, Lehman Brothers, Confidence Interval, Distribution Mean, Freddie Mac, Management Science, Miller Anderson, New York, Federal Home Loan Mortgage Corporation, Government National Mortgage Association, Horizon Relative Frequency, Call Option Strike, Fannie Mae, Federal National Mortgage Association, Financial Analysts Journal, National Median, New Approach, Office of Thrift Supervision, Support Fltr, Support Inverse Fltr New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
While demand from the various factions of the investor base affects MBS spreads, the investment actions of the agencies, namely Federal National Mortgage Association (FNMA) and Federal Home Loan Mortgage Corporation (FHLMC), are now the single largest determinants of MBS spreads with respect to the investment community. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
pathwise values, positive slope elasticity, static discount spread, curve slope exposure, detailed prepayment research, model valuation risk, negative slope elasticity, static return spread, callable tranches, prepayment derivative, average mortgage life, passthrough spreads, average life floater, prepayment rates increase, empirical hedge ratios, shocked paths, linear path space, call stipulation, yield curve flattens, proxy portfolio, prepayment model, yield curve slope, prepayment expectations, interest rate paths, yield curve risk Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, Lehman Brothers, Confidence Interval, Distribution Mean, Freddie Mac, Management Science, Miller Anderson, New York, Federal Home Loan Mortgage Corporation, Government National Mortgage Association, Horizon Relative Frequency, Call Option Strike, Fannie Mae, Federal National Mortgage Association, Financial Analysts Journal, National Median, New Approach, Office of Thrift Supervision, Support Fltr, Support Inverse Fltr New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
This book cites 31
books:
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11
books
cite this book:
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- Fixed Income Securities by Frank J. Fabozzi CFA in Front Matter, page 102, and Back Matter
- Managing Fixed Income Portfolios (Frank J. Fabozzi Series) by Frank J. Fabozzi CFA in Front Matter, page 211, and Back Matter
- Smith Barney by Vault Reports in Front Matter, and page 231
- Selected Topics in Bond Portfolio Management (Frank J. Fabozzi Series) by Frank J. Fabozzi CFA in Front Matter, and Back Matter
- Bond Portfolio Management, 2nd Edition by Frank J. Fabozzi CFA in Front Matter, and Back Matter
See all 31 books this book cites
- Duration, Convexity, and Other Bond Risk Measures (Frank J. Fabozzi Series) by Frank J. Fabozzi CFA on page 135, page 229, and page 230
- Bond Portfolio Management, 2nd Edition by Frank J. Fabozzi CFA on page 284, and page 444
- Financial Econometrics: From Basics to Advanced Modeling Techniques (Frank J. Fabozzi Series) by Svetlozar T. Rachev on page 195, and page 196
- Fixed Income Analysis (CFA Institute Investment Series) by Frank J. Fabozzi CFA on page 346, and page 357
- The Theory and Practice of Investment Management (Frank J. Fabozzi Series) by Frank J. Fabozzi CFA on page 574, and page 628
See all 11 books citing this book
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