Handbook of Mortgage Backed Securities

ISBN-10: 007135946X

ISBN-13: 9780071359467

Edition: 5th 2001

Authors: Frank J. Fabozzi

List price: $95.00
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Updated profit-enhancement strategies for today's hottest investment marketMortgage backed securities are a tremendously popular low-risk/high-return investment class--and Frank Fabozzi's revised, expanded The Handbook of Mortgage Backed Securities remains the essential high-level book for trading and understanding these innovative products. This authoritative classic explains the latest fundamentals, characteristics, and strategies for ensuring greater profits in his growing market.Fabozzi's focus on applied materials made previous editions required reading for market practitioners. In addition, 20 new or substantially revised chapters in this edition both increase and expand the book's coverage of:Latest valuation techniquesBond portfolio managementHedging strategiesPrepayment behavior and modelingWhole loan CMOsDefault modelsOption-adjusted spread analysis
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Book details

List price: $95.00
Edition: 5th
Copyright year: 2001
Publisher: McGraw-Hill Companies, The
Binding: Hardcover
Pages: 877
Size: 6.25" wide x 9.25" long x 2.50" tall
Weight: 2.948
Language: English

Mortgages and Pass-Through Securities
Overview of the Mortgage Market
Mortgage Pass-Through Securities
Securities Backed by Adjustable-Rate Mortgages
Prepayment Penalty Mortgage-Backed Securities
Trading, Settlement, and Clearing Procedures for Agency MBS
Building an MBS Index: Conventions and Calculations
Collateralized Borrowing via Dollar Rolls
Stripped Mortgage-Backed Securities and Collateralized Mortgage Obligations
Stripped Mortgage-Backed Securities
Collateralized Mortgage Obligations
The Effect of PAC Bond Features on Performance
Z Bonds
Companions with Schedules
Inverse Floating-Rate CMOs
Credit-Sensitive Mortgage-Backed Securities
Nonagency CMOs
Securities Backed by Closed-End Home Equity Loans
Securities Backed by Manufactured Housing Loans
Mortgage Credit Analysis
Credit Performance of High LTV Loans
Prepayment Modeling
Overview of Recent Prepayment Behavior and Advances in Its Modeling
GNMA ARM Prepayment Model
The Next Generation of Prepayment Models to Value Nonagency MBS
Prepayment Insight: Saxon Mortgage Home Equity Portfolio
Valuation Techniques, Relative Value Analysis, and Portfolio Strategies
Valuation of Mortgage-Backed Securities
ARMs Analysis
Toward a New Approach to Measuring Mortgage Duration
Duration and Convexity Drift of CMOs
Understanding Inverse Floater Pricing
Uncovering Value in Rotating PSA Environments
Analysis of Low Loan Balance MBS
Analysis of Low-WAC MBS
The Combined Effects of Low WAC and Low Balance on MBS Valuation
Hedging Mortgages with Swaps and Agencies
Hedge Effectiveness: A Study by Price Bucket
Hedging IOs and Mortgage Servicing
Commercial Mortgage-Backed Securities
Commercial Mortgage-Backed Securities
Multifamily Project Securities
Value and Sensitivity Analysis of CMBS IOs
CMBS Collateral Performance
Non-U.S. Mortgage-Backed Products
Mortgage-Backed Securities in Germany
Mortgage-Backed Securities in the Netherlands
Mortgage-Backed Securities in Australia
Commercial Mortgage-Backed Securities in Japan
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