The Handbook of Mortgage-Backed Securities

Herausgeber: Fabozzi, Frank J

• Gebundenes Buch

Produktbeschreibung

This edition, revised since the subprime mortgage crisis, is designed to provide not only the fundamentals of mortgage-backed securities and the investment characteristics that make them attractive to a broad range of investors, but also extensive coverage of state-of-the-art strategies for capitalizing on the opportunities in this market.

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Produktdetails

• Verlag: Oxford University Press
• 7 Revised edition
• Seitenzahl: 832
• Erscheinungstermin: 18. Oktober 2016
• Englisch
• Abmessung: 251mm x 184mm x 53mm
• Gewicht: 1536g
• ISBN-13: 9780198785774
• ISBN-10: 0198785771
• Artikelnr.: 45102868

Autorenporträt

Frank J. Fabozzi is editor of the Journal of Portfolio Management, Professor of Finance at EDHEC Business School, and a Senior Scientific Adviser at EDHEC-Risk Institute. A CFA holder, Professor Fabozzi is a trustee for the BlackRock closed-end fund complex. He received the CFA Institute's 'C. Stewart Sheppard Award' in 2007, as well as the 'James R. Vertin Award' in 2015. He was inducted into the Fixed Income Analysts Society Hall of Fame in November 2002. He has authored and edited numerous books in fixed income analysis and portfolio management.

Inhaltsangabe

* PART ONE: BACKGROUND
* 1: Bill Berliner, Adam Quinones and Anand K. Bhattacharya: Mortgage
Loans to Mortgage-Backed Securities
* 2: David M.Lukach,Thomas Knox, Eliza Kwong, and Anoop Lall:
Understanding the Prospectus and Prospectus Supplement for
Mortgage-Backed Securities
* 3: Frank J. Fabozzi: Cash Flow Mathematics For Agency Mortgage-Backed
Securities
* 4: Sharon Brown-Hruska, Georgi Tsvetkov, and Trevor Wagener: New
Regulations for Securitizations and Asset-Backed Securities
* 5: Andrew Carron, Anne Gron and Thomas Schopflocher: Impact of the
Credit Crisis on Mortgage-Backed Securities
* PART TWO: AGENCY RMBS: BASIC PRODUCTS
* 6: Frank J. Fabozzi, Glenn Schultz, and Linda Lowell: Agency Mortgage
Passthrough Securities
* 7: Bill Berliner, Anand K. Bhattacharya, and Steve Banerjee: Hybrid
ARMs
* 8: Anand K. Bhattacharya, Bill Berliner, and Steve Banerjee:
Customized Mortgage-Backed Securities
* 9: Debra Chen: Single Family Rental Deals
* 10: Debra Chen: GSE Credit Risk Transfer Deals
* 11: Philip Obazee and Ion Dan: Agency Mortgage-Backed Securities:
Performance, Valuation and Risk Premium Comparatives
* PART THREE: AGENCY RMBS: MUTLI-CLASS
* 12: Frank J. Fabozzi: Agency Collateralized Mortgage Obligations
* 13: William Irving, Linda Lowell, and Frank J. Fabozzi: Agency
Planned Amortization Class Bonds
* 14: Glenn Schultz, Linda Lowell, and Frank J. Fabozzi: Accrual
Bonds/Z Bonds
* 15: Linda Lowell, Glenn Schultz, and Frank J. Fabozzi: Support Bonds
with Schedules
* 16: Airat Chanyshev, Esther Bruegger, and Erin McHugh: Floating Rate
Mortgage Securities
* 17: Cyrus Mohebbi, Raymond Yu, Marc Barakat, and Paula Steisel
Goldfarb: Inverse Floating-Rate CMOs
* 18: Cyrus Mohebbi, Raymond Yu, Ardeshir Shahmaei, and Paula Steisel
Goldfarb: Stripped Mortgage-Backed Securities
* PART FOUR: PRIVATE LABEL MBS
* 19: Mark Adelson: Lessons of the Financial Crisis for Private-Label
MBS
* 20: Frank J. Fabozzi and Bill Berliner: Credit Enhancement
* 21: Thomas Schopflocher and Jordan Milev: Introduction to Covered
Bonds
* PART FIVE: COMMERCIAL MORTGAGE-BACKED SECURITIES
* 22: Ed Daingerfield: Agency Commercial Mortgage Securities
* 23: Philip O. Obazee and Duane C. Hewlett: CMBS Collateral
Performance: Measures and Valuations
* PART SIX: VALUATION AND PREPAYMENT MODELING
* 24: Rajashri (Priya) Joshi, Tom Davis, and Bill McCoy,: Valuation of
Agency Mortgage-Backed Securities
* 25: Jonathon Weiner: Modeling Prepayments and Defaults for MBS
Valuation
* 26: Steve Banerjee, Anand K. Bhattacharya and Bill Berliner:
Contemporary Challenges in Loan-Level Prepayment Modeling
* 27: Bill Berliner and Anand Bhattacharya: Issues and Challenges in
Non-Agency Mortgage Securitizations
* 28: Faten Sabry, Ignacio Franceschelli, and Drew Claxton: Residential
Mortgage Defaults, Foreclosures and Modifications
* PART SEVEN: PORTFOLIO MANAGEMENT TOOLS AND TECHNIQUES
* 29: Eric M. Wang and Bruce D. Phelps: Managing against the Barclays
MBS Index: Prices and Returns
* 30: Nikki Stefanelli and Bruce D. Phelps: MBS Index Replication with
TBAs
* 31: Frank J. Fabozzi: Alternative Methods for Estimating Duration for
Mortgage-Backed Securities
* 32: Brett R. Dunn. Kenneth B. Dunn, Frank J. Fabozzi, and Roberto
Sella: Hedging Agency Mortgage-Related Securities
* 33: Bill Berliner and Anand Bhattacharaya: Dollar Rolls
* 34: Chudozie Okongwu, Timothy McKenna, Oksana Kitaychik, and Giulio
Renzi-Ricci: Credit Derivatives and Mortgage-Backed Securities
* 35: Mark Fontanilla: A Framework for Determining Relative Value in
the Agency MBS Market