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Zusatztext Mortgage Valuation Models delivers much more than its title suggests. It explores the key aspects of the mortgage market that ultimately were a trigger of the financial crisis. It offers potential policy solutions to remedy deficiencies in the current market structures. Most of all, though, alongside its very rigorous treatment of the technical details of mortgage models, it provides frequent illustrations and guidance that will help readers to avoid having unrealistically high expectations of their mortgage models. Informationen zum Autor Andrew Davidson is a financial innovator and leader in the development of financial research and analytics. He has worked extensively on mortgage-backed securities product development, valuation, and hedging. He is president of Andrew Davidson & Co., Inc., a New York firm specializing in the application of analytical tools to investment management, which he founded in 1992. He is co-author of the book Securitization: Structuring and Investment Analysis and Mortgage-Backed Securities, Investment Analysis & Valuation Techniques and has written numerous articles that have appeared in The Handbook of Mortgage-Backed Securities, Mortgage-Backed Securities: New Applications and Research and The Journal of Real Estate Finance and Economics. He received an MBA in Finance at the University of Chicago and a BA in Mathematics and Physics at Harvard.Alex Levin is Director of Financial Engineering at Andrew Davidson & Co., Inc. He has developed innovative and efficient valuation models for MBS, including the Active-Passive Decomposition burnout model, the concept of prepay risk-and-option-adjusted valuation, and the method of Credit OAS and non-Monte Carlo shortcuts. His recent work focuses on the valuation of instruments exposed to credit risk, home-price modeling, and projects related to the MBS crisis. Alex has been a guest speaker at both academic and practitioner events and has published a number of papers. He holds an M.S. in Applied Mathematics from Naval Engineering Institute, Leningrad, and a Ph.D. in Control and Dynamic Systems from Leningrad State University. Klappentext Valuation of mortgage-backed securities requires blending empirical analysis of borrower behavior and mathematical modeling of interest rates and home prices, with recognition of various prices of risk and uncertainty. This book offers a detailed description of the sophisticated theories and advanced methods used for the real-world valuation of MBS. Zusammenfassung Valuation of mortgage-backed securities requires blending empirical analysis of borrower behavior and mathematical modeling of interest rates and home prices, with recognition of various prices of risk and uncertainty. This book offers a detailed description of the sophisticated theories and advanced methods used for the real-world valuation of MBS. Inhaltsverzeichnis Introduction Part 1 Fundamentals of MBS Risk and Valuation Chapter 1 Dimensions of Uncertainty Chapter 2 Fundamentals of Securitization Chapter 3 Investors in Mortgage-Backed Securities Chapter 4 Valuation with Risk Factors and Risk Neutrality Chapter 5 Short-Rate Term-Structure Modeling Chapter 6 Risk-Neutral Modeling Using Forward and Futures Prices Part 2 Modeling and Valuation of Agency MBS Chapter 7 Agency Pool Prepayment Models Chapter 8 Engineering of Valuation Models without Simulations Chapter 9 Monte Carlo Methods Chapter 10 Applications of the OAS Valuation Approach to Agency MBS Chapter 11 Prepayment Risk Neutrality (the concept of prOAS) Part 3 Modeling and Valuation of Non-Agency MBS Chapter 12 Loan Level Modeling of Prepayment and Default Chapter 13 The Concept of Credit OAS Chapter 14 Empirical Modeling of Home Prices Chapter 15 Credit Analysis on a Scenario Grid and Analytical Shortcuts Part 4 Analysis of the 2008-2009 Financial Crisis Chapter ...
Summary
Valuation of mortgage-backed securities requires blending empirical analysis of borrower behavior and mathematical modeling of interest rates and home prices, with recognition of various prices of risk and uncertainty. This book offers a detailed description of the sophisticated theories and advanced methods used for the real-world valuation of MBS.
