Andrew Davidson, Alexander Levin

Mortgage Valuation Models (eBook, PDF)

Embedded Options, Risk, and Uncertainty

• Format: PDF

Produktbeschreibung

Mortgage-backed securities (MBS) are among the most complex of all financial instruments. Analysis of MBS requires blending empirical analysis of borrower behavior with the mathematical modeling of interest rates and home prices. Over the past 25 years, Andrew Davidson and Alexander Levin have been at the leading edge of MBS valuation and risk analysis. Mortgage Valuation Models: Embedded Options, Risk, and Uncertainty contains a detailed description of the sophisticated theories and advanced methods that the authors employ in real-world analyses of mortgage-backed securities. Issues such as complexity, borrower options, uncertainty, and model risk play a central role in the authors' approach to the valuation of MBS. The coverage spans the range of mortgage products from loans and TBA (to-be-announced) pass-through securities to subordinate tranches of subprime-mortgage securitizations. With reference to the classical CAPM and APT, the book advocates extending the concept of risk-neutrality to modeling home prices and borrower options, well beyond interest rates. It describes valuation methods for both agency and non-agency MBS including pricing new loans; approaches to prudent risk measurement, ranking, and decomposition; and methods for modeling prepayments and defaults of borrowers. The authors also reveal quantitative causes of the 2007-09 financial crisis and provide insight into the future of the U.S. housing finance system and mortgage modeling as this field continues to evolve. This book will serve as a foundation for the future development of models for mortgage-backed securities.

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Produktdetails

• Verlag: Oxford University Press
• Seitenzahl: 464
• Erscheinungstermin: 22. Mai 2014
• Englisch
• ISBN-13: 9780199363681
• Artikelnr.: 40849489

Autorenporträt

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 books Securitization: Structuring and Investment Analysis and Mortgage-Backed Securities: Investment Analysis & Valuation Techniques. He has also contributed to 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 M.B.A. in Finance at the University of Chicago and a B.A. in Mathematics and Physics at Harvard University. Alexander Levin is Director of Financial Engineering at Andrew Davidson & Co., Inc. He has developed innovative and efficient valuation models for mortgage-backed securities, including the Active-Passive Decomposition burnout model, the concept of prepay risk-and-option-adjusted valuation, and the method of Credit Option-Adjusted Spread 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. Levin has been a guest speaker at both academic and practitioner events and has published a number of papers. Levin is a recipient of the 2014 Mortgage Banking Magazine's Technology All-Stars award. 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.

Inhaltsangabe

* 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 16 Lesson #1: The Role of Financing and Affordability in the
Formation of Housing Prices
* Chapter 17 Lesson #2: The CDO Calamity and Six Degrees of Separation
* Chapter 18 Lesson #3: Fair versus Intrinsic Valuation under Market
Duress
* Part 5 Building a Healthy Housing Finance System
* Chapter 19 How to Measure Risk, Rank Deals and Set Aside Capital
* Chapter 20 How to Price New Loans
* Chapter 21 The Future of Housing Finance and MBS Modeling
* References