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" The handbook of mortgage-backed securities / "
Frank J. Fabozzi, editor.
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BL
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| Record Number
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1045769
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b800139
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| Title & Author
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The handbook of mortgage-backed securities /\ Frank J. Fabozzi, editor.
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| Edition Statement
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6th ed.
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| Publication Statement
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New York :: McGraw-Hill,, ©2006.
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| Page. NO
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xxvii, 1238 pages :: illustrations, maps ;; 24 cm
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| ISBN
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0071460748
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: 9780071460743
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| Bibliographies/Indexes
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Includes bibliographical references and index.
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| Contents
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An Overview of Mortgages and the Mortgage Market -- MBS Investors -- Mortgage Pass-Through Securities -- Trading, Settlement, and Clearing Procedures for Agency MBS -- Defining Nonagency MBS -- Credit Enhancements for Nonagency MBS Products -- Understanding the Prospectus and Prospectus Supplement -- Waterfall Cash flow Mechanics in European RMBS -- Exploring the MBS/ABS Continuum: The Growth and Tiering of the Alt-A Hybrid Sector -- Alt-A Mortgages and MBS -- Fixed-Rate Alt-A MBS -- Hybrid Adjustable-Rate Mortgages -- Hybrids: Product, Performance, Investor Base and Frameworks to Assess Relative Value -- IO ARMS -- Residential Asset-Backed Securities -- Customized Mortgage-Backed Securities -- The Prepayment and Credit Characteristics of Reperforming FHA/VA Loans -- Prepayment Penalty Mortgage-Backed Securities -- Stripped Mortgage-Backed Securities -- The Effect of PAC Bond Features on Performance -- Z Bonds -- Companions with Schedules -- Inverse Floating-Rate CMOs -- Overview of Recent Prepayment Behavior and Advances in its Modeling and Valuation -- Agency Prepayment Model: Modeling the Dynamics of Borrower Attributes -- Loan-Level Prepayment Models -- Prepayment Modeling Using Active-Passive Decomposition and Agency Enhanced Data -- Prepayment Models to Value Nonagency MBS -- Hybrid Mortgage Prepayment Model -- Modeling Non-Prime Mortgage Prepayment, Delinquency, and Default -- Discount Speeds -- How Slow Can They Go? -- Valuation of Mortgage-Backed Securities -- Risk-Neutral Prepayment Modeling and Valuation with prOAS -- Option-Theoretical Approach to MBS Valuation -- Approaches to Measuring the Duration of Mortgage-Related Products -- Duration and Convexity Drift of CMOs -- Managing Against the Lehman Brothers MBS Index: MBS Index Prices -- Managing Against the Lehman Brothers MBS Index: MBS Index Returns -- Dollar Rolls -- Uncovering the Risk-Adjusted Carry in Pass-Throughs -- Mortgage Credit Quantified -- Specified Pool Trades -- Ranking The Alternatives -- Analysis of Clean-Up Calls -- A Three-Factor Approach For Hedging Mortgage-Backed Securities -- Mortgage Options -- Mortgage Prepayment Derivatives -- Hedging IOs and Mortgage Servicing Rights -- MarktoMarket Methodology, Mortgage Servicing Rights, and Hedging Effectiveness -- Prepayment-Linked Notes -- Commercial Mortgage-Backed Securities -- The Impact of Structuring on CMBS Bond Class Performance -- Investment Characteristics of GNMA Project Loan Securities -- CMBS Collateral Performance: Measures and Valuations -- Value and Sensitivity Analysis of CMBS IOs -- Cash Flow CDOs for CMBS Investors.
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| Abstract
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"Mortgag acked securities continue to be one of the most exciting, fastest-growing sector of the fixed income market. According to the Mortgage Bankers Association, of the estimated $3 trillion in mortgage loans made in 2005, fully 80 percent ended up in mortgage-backed securities, representing a phenomenal 61 percent growth since 2001." "For more than twenty-five years, the number-one resource for both private investors and professional portfolio managers looking to gain a practical understanding of the rapidly evolving MBS market has been The Handbook of Mortgage-Backed Securities. Like its predecessors, this latest edition of Frank Fabozzi's classic draws upon the insights and expertise of an impressive team of international experts to fill you in on MBS fundamentals and bring you up to speed on state-of-the-art investment strategies. Covering the full range of MBS products (agency, nonagency, and resident ABS) and derivatives, the Handbook explores the many advantages and potential pitfalls inherent in the market and shows you how to: Invest in the full range of products backed by mortgage loans, Value all types of MBS, Control interest rate risk, Exploit proven portfolio management tools and techniques, Use sophisticated hedging strategies and tools." "Fully revised and expanded to provide coverage of the latest MBS products, valuation methodologies, prepayment models, and trading strategies, Handbook of Mortgage-Backed Securities, Sixth Edition is the definitive guide to capitalizing on the opportunities in today's MBS marketplace. Book jacket."--Jacket.
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| Subject
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Mortgage-backed securities-- United States.
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Portfolio management-- United States.
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Inteckning.
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Mortgage-backed securities.
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Mortgages-- USA.
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Pfandbrief
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Portfolio management-- USA.
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Portfolio management.
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Värdepapper.
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United States.
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| Dewey Classification
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332.63/23
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| LC Classification
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HG4655.H36 2006
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| NLM classification
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QK 620rvk
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| Added Entry
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Fabozzi, Frank J.
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