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- Product code: 13794
- ISBN: 007135946X,
ISBN13: 9780071359467,
1050 pages, hardback
Published by McGraw-Hill Professional on 2001
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Description of The Handbook of Mortgage-Backed Securities |
The definitive guide to mortgage-backed securities - now revised and updated.
The classic - and single best - resource for understanding and trading mortgage-backed securities has been brought fully up to date with The Handbook of Mortgage-Backed Securities, Fifth Edition, giving you timely insights into everything from fundamentals to investment characteristics of mortgage-backed securities, as well as state-of-the-art strategies for capitalizing on opportunities.
The Handbook's seven sections bring you up to speed on mortgages and pass-through securities, stripped mortgage-backed securities and collateralized mortgage obligations, credit-sensitive mortgage-backed securities, prepayment modeling, valuation techniques, relative value analysis, and portfolio strategies, commercial mortgage-backed securities, and non-U.S. mortgage-backed securities.
This edition is more than just a revised edition - it's practically a new book. Twenty-nine of the chapters are either new or have been substantially revised, reflecting the most recent developments in the mortgage-backed securities market, in terms of both product development and financial technology. These entirely new sections give you a seamless transition into the 24-hour, global financial markets of the 21st century.
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Contents of The Handbook of Mortgage-Backed Securities |
SECTION I: Mortgages and Pass-Through Securities
1. Overview of the Mortgage Market
2. Mortgage Pass-Through Securities
3. Securities Backed by Adjustable-Rate Mortgages
4. Prepayment Penalty Mortgage-Backed Securities
5. Trading, Settlement, and Clearing Procedures for Agency MBS
6. Building an MBS Index. Conventions and Calculation
7. Collateralized Borrowing via Dollar Rolls
SECTION II: Stripped Mortgage-Backed Securities and Collateralized Mortgage Obligations
8. Stripped Mortgage-Backed Securities
9. Collateralized Mortgage Obligations
10. The Effect of PAC Bond Features on Performance
11. Z Bonds
12. Companions with Schedules
13. Inverse Floating-Rate CMOs
SECTION III: Credit-Sensitive Mortgage-Backed Securities
14. Nonagency CMOs
15. Securities Backed by Closed-End Home Equity Loans
16. Securities Backed by Manufactured Housing Loans
17. Mortgage Credit Analysis
18. Credit Performance of High LTV Loans
SECTION IV: Prepayment Modelling
19. Overview of Recent Prepayment Behaviour and Advances in Its Modelling
20. GNMA ARM Prepayment Model
21. The Next Generation of Prepayment Models to Value Nonagency MBS
22. Prepayment Insight Saxon Mortgage Home Equity Portfolio
SECTION V: Valuation Techniques, Relative Value Analysis, and Portfolio Strategies
23. Valuation of Mortgage-Backed Securities
24. ARMs Analysis
25. Toward a New Approach to Measuring Mortgage Duration
26. Duration and Convexity Drift of CMOs
27. Understanding Inverse Floater Pricing
28. Uncovering Value in Rotating PSA Environments
29. Analysis of Low Loan Balance MBS
30. Analysis of Low-WAC MBS
31. The Combined Effects of Low WAC and Low Balance on MBS Valuation
32. Hedging Mortgages with Swaps and Agencies
33. Hedge Effectiveness A Study by Price Bucket
34. Hedging IOs and Mortgage Servicing
SECTION VI: Commercial Mortgage-Backed Securities
35. Commercial Mortgage-Backed Securities
36. Multifamily Project Securities
37. Value and Sensitivity Analysis of CMBS IOs
38. CMBS Collateral Performance
SECTION VII: Non-US Mortgage-Backed Products
39. Mortgage-Backed Securities in Germany
40. Mortgage-Backed Securities in the Netherlands
41. Mortgage-Backed Securities in Australia
42. Commercial Mortgage-Backed Securities in Japan
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