Fr. 196.00

Advances in the Valuation and Management of Mortgage-Backed Securities

English · Hardback

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Description

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Advances in the Valuation and Management of Mortgage-Backed Securities details the latest developments for valuing mortgage-backed securities and measuring and controlling the interest rate risk of these securities. Complete coverage includes: decomposition of mortgage spreads, MBS index replication strategies and market neutral strategies, Monte Carlo/OAS methodology, valuation of inverse floaters and ARMs, relative value analysis, and hedging mortgage instruments against level risk and yield curve risk.

List of contents










Contributing Authors.

1. Decomposition of Mortgage Spreads (A. Bhattacharya and I. Koren).

2. Replicating the MBS Index Risk and Return Characteristics Using Proxy Portfolios (A. Majidi).

3. Market Neutral Trading Strategies (G. Hall).

4. Total Return Analysis in CMO Portfolio Management (D. Canuel and C. Melchreit).

5. Non-Traded Factors in MBS Portfolio Management (A. Levin and D. Daras).

6. Valuation of CMOs (F. Fabozzi, et al.).

7. Valuation and Portfolio Risk Management with Mortgage-Backed Securities (S. Zenios).

8. The Valuation of PAC Bonds Without Complex Models (C. Asness and M. Smirlock).

9. A Portfolio Manager's Perspective of Inverses and Inverse IOs (W. Leach).

10. Forward Rates and CMO Portfolio Management (C. Asness and J. Beinner).

11. A New Approach to Option-Adjusted Valuation of MBS on a Multi-Scenario Grid (A. Levin).

12. Arbitrage-Free MBS Canonical Decomposition (T. Ho and M. Chen).

13. A Practical Guide to Relative Value for Mortgages (W. Phoa).

14. Hedging Mortgage Passthrough Securities (K. Dunn and R. Sella).

15. An Integrated Approach to Mortgage Hedging and Relative Value Analysis (L. Goodman and J. Ho).

16. Yield Curve Risk of CMO Bonds (M. Schumacher, et al.).

17. Valuation and Analysis of ARMs (S. Mansukhani).

18. Understanding and Valuing Callable REMICs (B. Lancaster, et al.).

Index.

About the author










Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and Adjunct Professor of Finance at Yale University's School of Management.

Product details

Authors Fabozzi
Assisted by Frank J Fabozzi (Editor), Frank J. Fabozzi (Editor), Fabozzi Frank J. (Editor)
Publisher Wiley
 
Languages English
Product format Hardback
Released 31.01.1999
 
EAN 9781883249526
ISBN 978-1-883249-52-6
No. of pages 334
Dimensions 161 mm x 247 mm x 26 mm
Weight 608 g
Series Frank J. Fabozzi Library
Frank J. Fabozzi Series
Subjects Social sciences, law, business > Business > Business administration

BUSINESS & ECONOMICS / Accounting / General, BUSINESS & ECONOMICS / Finance / General, Finance & accounting, Finance and accounting

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