The Handbook of Mortgage-Backed Securities [Hardback]by Frank J. Fabozzi
Not yet published, no due date - can be pre-ordered Description of The Handbook of Mortgage-Backed SecuritiesA classic of investment literature, The Handbook of Mortgage-Backed Securities provides unparalleled coverage of every aspect of the mortgage-backed securities market. Authoritative and comprehensive, the book explains both the fundamentals and investment characteristics of mortgage-backed securities, as well as state-of-the-art strategies for capitalizing on opportunities.The fourth edition of the Handbook is very much a new book. Twenty-seven of the chapters are either new or have been substantially revised. The book fully reflects the recent developments in the market in terms of both product development and financial technology. Topics covered in much greater depth in the new edition include: prepayment behavior and modelling; whole-loan CMOs; commercial mortgage-backed securities; and option-adjusted spread analysis. Moreover, sections on stripped mortgage-backed securities, risk management, and taxation have been updated and revised. Expertly compiled by Frank J. Fabozzi, the Handbook features contributions from a wide range of experts, most of whom are actively involved in the mortgage-backed securities market. As a result, the Handbook provides readers with a well-rounded, real-world, perspective on this dynamic and multi-faceted market. By providing information vital to market participants, previous editions of the Handbook were instrumental in fuelling the growth of the mortgage-backed securities market. The fourth edition of the Handbook contains all the elements that made the three previous editions so successful and continues the book's long tradition of providing cutting-edge information for investors, traders and other market practitioners. Title Information
Write a review of this book Customer Reviews from AmazonContents of The Handbook of Mortgage-Backed SecuritiesSECTION I: Mortgage and Pass-Through Securities1. Mortgages 2. Mortgage Pass-Through Securities 3. Agency Adjustable-Rate Mortgage Securities 4. Trading, Settlement, and Clearing Procedures for Agency MBS 5. Collateralized Borrowing via Dollar Rolls 6. Multifamily Project Securities SECTION II: Prepayment Behavior and Forecasting 8. Mortgage Prepayment Modeling: I 9. Mortgage Prepayment Modeling: II 10. Modifying the PSA Curve for Newly-Issued Mortgage Pass-Throughs 12. Homeowner Mobility and Mortgage-Prepayment Forecasting 13. An Unbiased Method of Applying Historical Prepayment 14. RFC Whole Loan Prepayment Behavior SECTION III: Stripped Mortgage-Backed Securities 14. Stripped Mortgage-Backed Securities 15. Synthetic Mortgage-Backed Securities SECTION IV: Collateralized Mortgage Obligations 16. Introduction to Collateralized Mortgage Obligations 17. Prospects of Derivative Mortgage Securities 18. The Effect of PAC Bond Features on Performance 19. Z-Bonds 20. Companions with Schedules 21. Inverse Floaters and Inverse IOs 22. CMO Residuals 23.Whole-Loan CMOs 24. Understanding and Valuing Mortgage Security Credit SECTION V: Commercial Mortgage-Backed Securities 25. Commercial Mortgage-Backed Securities 26. Quantifying Credit Risk in CMBS 27. New Ways to Model Default Scenarios SECTION VI: Valuation Techniques and Risk Measurement 28. A Comparison of Models for Analyzing Mortgage-Backed Securities 29. Introduction to the Option-Adjusted Spread Method 30. A Further Look at Option-Adjusted Spread Analysis 31. Consistent, Fair and Robust Methods of Valuing Mortgage-Backed Securities 32. Towards a New Approach to Measuring Mortgage Duration 33. Duration and Convexity Drift of CMOs 34. Understanding Inverse Floater Pricing SECTION VIII: Hedging Strategies 35. Hedging Interest-Rate Risks with Futures, Swaps and Options 36. Risk, Return and Hedging Fixed-Rate Mortgages 37. Options on Mortgage-Backed Securities SECTION IX: Accounting and Tax Considerations 38. FAS 115 and MBS Portfolio Management 39. Federal income Tax treatment of Mortgage-Backed Securities Appendix Index |
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