The Handbook of Mortgage-Backed Securities / Edition 6

The Handbook of Mortgage-Backed Securities / Edition 6

by Frank J. Fabozzi
     
 

ISBN-10: 0071460748

ISBN-13: 9780071460743

Pub. Date: 12/21/2005

Publisher: McGraw-Hill Professional Publishing

The definitive MBS guide, with fully updated material on the latest mortgage-backed products, methods, models, and portfolio strategies

By providing hands-on information vital to market participants, previous editions of The Handbook of Mortgage-Backed Securities were instrumental in fueling the growth of the mortgage-backed securities market. The

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Overview

The definitive MBS guide, with fully updated material on the latest mortgage-backed products, methods, models, and portfolio strategies

By providing hands-on information vital to market participants, previous editions of The Handbook of Mortgage-Backed Securities were instrumental in fueling the growth of the mortgage-backed securities market. The sixth edition contains all the elements that made previous editions so successful and influential, and provides you with more than 25 new chapters on topics including collateralized mortgage obligations, prepayment derivatives, loan level determinants of repayments, new approaches to MBS valuation, and a survey of non-U.S. mortgage rates.

Product Details

ISBN-13:
9780071460743
Publisher:
McGraw-Hill Professional Publishing
Publication date:
12/21/2005
Edition description:
List
Pages:
1272
Product dimensions:
6.40(w) x 9.30(h) x 2.50(d)

Table of Contents

Preface
Contributing Authors
1Overview1
2Mortgages9
3Mortgage Pass-Through Securities29
4Agency Adjustable-Rate Mortgage Securities59
5Trading, Settlement, and Clearing Procedures for Agency MBS81
6Collateralized Borrowing via Dollar Rolls91
7Multifamily Project Securities103
8Mortgage Prepayment Modeling: I127
9Mortgage Prepayment Modeling: II143
10Modifying the PSA Curve for Newly Issued Mortgage Pass-Throughs169
11Homeowner Mobility and Mortgage Prepayment Forecasting177
12An Unbiased Method of Applying Historical Prepayment Speeds to Project Future Cash Flows187
13RFC Whole Loan Prepayment Behavior195
14Stripped Mortgage-Backed Securities225
15Synthetic Mortgage-Backed Securities249
16Introduction to Collateralized Mortgage Obligations263
17Prospects of Derivative Mortgage Securities293
18The Effect of PAC Bond Features on Performance301
19Z-Bonds327
20Companions with Schedules349
21Inverse Floaters and Inverse IOs367
22CMO Residuals395
23Whole-Loan CMOs413
24Understanding and Valuing Mortgage Security Credit449
25Commercial Mortgage-Backed Securities491
26Quantifying Credit Risk in CMBS545
27New Ways to Model Default Scenarios for Income Property Loans565
28A Comparison of Methods for Analyzing Mortgage-Backed Securities587
29Introduction to the Option-Adjusted Spread Method611
30A Further Look at Option-Adjusted Spread Analysis625
31Consistent, Fair and Robust Methods of Valuing Mortgage Securities641
32Towards a New Approach to Measuring Mortgage Duration667
33Duration and Convexity Drift of CMOs677
34Understanding Inverse Floater Pricing691
35Hedging Interest-Rate Risks with Futures, Swaps and Options703
36Risk, Return and Hedging of Fixed-Rate Mortgages783
37Options on Mortgage-Backed Securities827
38FAS 115 and MBS Portfolio Management843
39Federal Income Tax Treatment of Mortgage-Backed Securities867
Appendix933
Index941

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