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Even with the recent events that have occurred in this field,mortgage-backed securities (MBS) continue to comprise one of thelargest securities markets in the world. However, since thepublication of the first edition of Mortgage-Backed Securities,both the consumer mortgage and MBS sectors have undergonesignificant changes—many of them resulting directly, andindirectly, from the collapse in mortgage performance thatinitially appeared in late 2006 and led to the financial crisis of20072008.
That's why the expert author team of Frank Fabozzi, AnandBhattacharya, and William Berliner—who have witnessed manycycles of change in the mortgage and MBS sectors—have returnedto create the Second Edition of Mortgage-Backed Securities. In it,they skillfully reassess the MBS sector in the context of thechanges resulting from the crisis, as well as explore the insightsgained in the post-crisis period.
Engaging and informative, this updated edition continues toaddress the investment characteristics, creation, and analysis ofmortgage-backed securities, but now does so with the lessons anddata accumulated from post-2006 events in mind. Along the way, itoffers valuable insights that reflect the current marketenvironment: reexamining prepayment behavior and analysis todescribe the latest thinking on prepayment speeds and behavior,while taking into account credit and housing-related factors; anddevoting an entirely new chapter to the evaluation of non-agencyMBS.
Divided into four comprehensive parts, this reliable resourcecontains cutting-edge concepts you'll need to understand in orderto succeed within this arena.
Part One: introduces the essential aspects of the mortgage andMBS markets
Part Two: discusses prepayment and default behavior, along withan array of metrics and conventions used to quantify theseactivities
Part Three: describes a variety of structures and tranches,along with techniques used in structuring them
Part Four: outlines the metrics and methodologies necessary toevaluate the potential risks and returns associated withmortgage-backed securities
The mortgage and MBS markets remain in a highly unsettled state,which makes a broad and sophisticated understanding of MBS marketsand products essential. The Second Edition of Mortgage-BackedSecurities offers you a realistic assessment of this field and willput you in a better position to excel in one of the most dynamicand challenging areas of finance.
Frank J. Fabozzi, PhD, CFA, is Professor of Finance at EDHECBusiness School and a member of the EDHEC-Risk Institute. Prior tojoining EDHEC, he held various professorial positions in finance atYale University's School of Management from 1994 to 2011 and, from1986 to 1992, was a visiting professor of finance and accounting atMIT's Sloan School of Management. He is also Editor of the Journalof Portfolio Management.
Anand K. Bhattacharya, PhD, is a Professor of Practice inthe Department of Finance, W. P. Carey School of Business, ArizonaState University, and a Fixed Income Strategist with Stifel,Nicolaus & Company, Inc. He has consulted with variousfinancial institutions on issues of balance sheet restructuring andasset valuation.
William S. Berliner is the Principal of BerlinerConsulting & Research, LLC, a boutique firm specializing inmortgages and mortgage-backed securities. His primary focus issecurity and loan valuation and hedging, serving both institutionalinvestors and mortgage originators. Berliner also writes a monthlycolumn for Asset Securitization Report.