Mortgage-Backed Securities (eBook, ePUB) - Bhattacharya, Anand K.; Berliner, William S.; Fabozzi, Frank J.
-29%
54,99
Bisher 77,90**
54,99
Alle Preise in Euro, inkl. MwSt.
**Preis der gedruckten Ausgabe (Gebundenes Buch)
Sofort per Download lieferbar
Bisher 77,90**
54,99
Alle Preise in Euro, inkl. MwSt.
**Preis der gedruckten Ausgabe (Gebundenes Buch)
Sofort per Download lieferbar

Alle Infos zum eBook verschenken
Als Download kaufen
Bisher 77,90**
-29%
54,99
Preis in Euro, inkl. MwSt.
**Preis der gedruckten Ausgabe (Gebundenes Buch)
Sofort per Download lieferbar
Abo Download
9,90 / Monat*
*Abopreis beinhaltet vier eBooks, die aus der tolino select Titelauswahl im Abo geladen werden können.

Preis in Euro, inkl. MwSt.
Sofort per Download lieferbar

Einmalig pro Kunde einen Monat kostenlos testen (danach 9,90 pro Monat), jeden Monat 4 aus 40 Titeln wählen, monatlich kündbar.

Mehr zum tolino select eBook-Abo
Jetzt verschenken
Bisher 77,90**
-29%
54,99
Preis in Euro, inkl. MwSt.
**Preis der gedruckten Ausgabe (Gebundenes Buch)
Sofort per Download lieferbar

Alle Infos zum eBook verschenken
0 °P sammeln

  • Format: ePub


An in-depth look at the latest innovations in mortgage-backedsecurities The largest sector of the fixed-income market is the mortgagemarket. Understanding this market is critical for portfoliomanagers, as well as issuers who must be familiar with how thesesecurities are structured. Mortgage-Backed Securities is atimely guide to the investment characteristics, creation, andanalysis of residential real estate-backed securities. Each chaptercontains cutting-edge information for investors, traders, and otherprofessionals involved in this market, including discussions ofstructuring mortgage…mehr

  • Geräte: eReader
  • mit Kopierschutz
  • eBook Hilfe
  • Größe: 3.58MB
Produktbeschreibung
An in-depth look at the latest innovations in mortgage-backedsecurities The largest sector of the fixed-income market is the mortgagemarket. Understanding this market is critical for portfoliomanagers, as well as issuers who must be familiar with how thesesecurities are structured. Mortgage-Backed Securities is atimely guide to the investment characteristics, creation, andanalysis of residential real estate-backed securities. Each chaptercontains cutting-edge information for investors, traders, and otherprofessionals involved in this market, including discussions ofstructuring mortgage products-such as agency CMOs and new types ofmortgages-and an in-depth explanation of the concept ofoption-adjusted spreads and other analytical concepts used toassess relative value.

Dieser Download kann aus rechtlichen Gründen nur mit Rechnungsadresse in A, D ausgeliefert werden.

  • Produktdetails
  • Verlag: John Wiley & Sons
  • Seitenzahl: 336
  • Erscheinungstermin: 04.01.2011
  • Englisch
  • ISBN-13: 9781118044711
  • Artikelnr.: 37486925
Autorenporträt
Frank J. Fabozzi is Professor in the Practice of Finance inthe School of Management at Yale University. Prior to joining theYale faculty, he was a Visiting Professor of Finance in the SloanSchool at MIT. He is a Fellow of the International Center forFinance at Yale University and on the Advisory Council for theDepartment of Operations Research and Financial Engineering atPrinceton University. Professor Fabozzi is the editor of theJournal of Portfolio Management and an associate editor ofthe Journal of Fixed Income. He earned a doctorate ineconomics from the City University of New York in 1972. In 2002 wasinducted into the Fixed Income Analysts Society's Hall ofFame and is the 2007 recipient of the C. Stewart Sheppard Awardgiven by the CFA Institute. He earned the designation of CharteredFinancial Analyst and Certified Public Accountant. He has authoredand edited numerous books in finance. Anand K. Bhattacharya is a Managing Director atCountrywide Securities Corporation (CSC), a wholly owned affiliateof Countrywide Financial Corporation. He joined CSC in 1999, wherehe is responsible for the management of fixed income research andstrategies. Immediately prior to joining Countrywide, he wasManaging Director responsible for capital markets, risk managementand portfolio management oversight at Imperial Credit IndustriesInc (ICII) from March 1998 to January 1999. Prior to his employmentat ICII, Dr. Bhattacharya held positions at Prudential SecuritiesInc. from 1990 to 1998 with the most recent position as ManagingDirector, Global Head of Fixed Income Research. His prioremployment includes positions in fixed income research and productmanagement at Merrill Lynch Capital Markets, Franklin SavingsAssociation and its subsidiaries and Security Pacific MerchantBank. Dr. Bhattacharya has written extensively in various facets offixed income analysis and portfolio management. He has authored orcoauthored over 65 publications in various academic andprofessional journals and industry handbooks. He holds a Ph.D. inFinance and Quantitative Methods from Arizona State University. William S. Berliner is Executive Vice President in chargeof the Mortgage Strategies group at Countrywide SecuritiesCorporation. In this capacity, he oversees the generation ofrelative value analysis and strategies, and writes and edits manyof the firm's reports and publications. He began his careerin the Government Operations Department of Bear, Stearns and Co. in1985. He moved to the Mortgage trading desk in 1987 as a clerk andjoined the CMO desk in 1989. He worked on the CMO desk at Bearuntil 1993, when he left to join Nikko Securities, where heeventually ran CMO trading. He joined Countrywide as a trader in1996 and moved to the Research Department in early 1998. Mr.Berliner has a BA in Interpersonal Communications from RutgersCollege and an MBA in Finance from the Rutgers Graduate School ofBusiness.
Inhaltsangabe
Preface xi About the Authors xv PART ONE: Introduction to Mortgage and MBS Markets 1 CHAPTER 1: Overview of Mortgages and the Consumer Mortgage Market 3 Overview of Mortgages 4 Mortgage Loan Mechanics 12 Risks Associated with Mortgages and Mortgage Products 17 Concepts Presented in this Chapter 22 CHAPTER 2: Overview of the Mortgage
Backed Securities Market 23 Creating Different Types of MBS 24 MBS Trading 35 The Role of the MBS Markets in Generating Consumer Lending Rates 40 Cash Flow Structuring 44 Concepts Presented in this Chapter 46 PART TWO: Prepayment and Default Metrics and Behavior 47 CHAPTER 3: Measurement of Prepayments and Defaults 49 Prepayment Terminology 50 Calculating Prepayment Speeds 52 Delinquency, Default, and Loss Terminology 66 Concepts Presented in this Chapter 76 CHAPTER 4: Prepayments and Factors Influencing the Return of Principal 77 Prepayment Fundamentals 77 Factors Influencing Prepayment Speeds 85 Defaults and "Involuntary" Prepayments 92 Concepts Presented in this Chapter 97 PART THREE: Structuring 99 CHAPTER 5: Introduction to MBS Structuring Techniques 101 Underlying Logic in Structuring Cash Flows 102 Structuring Different Mortgage Products 103 Fundamentals of Structuring CMOs 106 CHAPTER 6: Fundamental MBS Structuring Techniques: Divisions of Principal 109 Time Tranching 110 Planned Amortization Classes (PACs) and the PAC
Support Structure 116 Targeted Amortization Class Bonds 130 Z
Bonds and Accretion
Directed Tranches 130 A Simple Structuring Example 134 Concepts Presented in this Chapter 140 CHAPTER 7: Fundamental MBS Structuring Techniques: Divisions of Interest 141 Coupon Stripping and Boosting 143 Floater
Inverse Floater Combinations 147 Two
Tiered Index Bonds (TTIBs) 156 Excess Servicing IOs 160 Concepts Presented in this Chapter 166 CHAPTER 8: Structuring Private
Label CMOs 167 Private
Label Credit Enhancement 169 Private
Label Senior Structuring Variations 176 Governing Documents 189 Concepts Presented in this Chapter 191 CHAPTER 9: The Structuring of Mortgage ABS Deals 193 Fundamentals of ABS Structures 194 Credit Enhancement for Mortgage ABS Deals 199 Factors Influencing the Credit Structure of Deals 201 Additional Structuring Issues and Developments 203 Concepts Presented in this Chapter 208 PART FOUR: Valuation and Analysis 209 CHAPTER 10: Techniques for Valuing MBS 211 Static Cash Flow Yield Analysis 211 Z
Spread 213 Valuation Using Monte Carlo Simulation and OAS Analysis 214 Total Return Analysis 226 Concepts Presented in this Chapter 229 CHAPTER 11: Measuring MBS Interest Rate Risk 231 Duration 231 Convexity 238 Yield Curve Risk 241 Other Risk Measures 242 Concepts Presented in this Chapter 244 CHAPTER 12: Evaluating Senior MBS and CMOs 245 Yield and Spread Matrices 246 Monte Carlo and OAS Analysis 262 Total Return Analysis 268 Evaluating Inverse Floaters 274 Concepts Presented in this Chapter 279 CHAPTER 13: Analysis of Nonagency MBS 281 Factors Impacting Returns from Nonagency MBS 281 Understanding the Evolution of Credit Performance within a Transaction 284 The Process of Estimating Private
Label MBS Returns 290 Concepts Presented in this Chapter 304 APPENDIX: An Option
Theoretic Approach to Valuing MBS 305 Option
Theoretic Models for Valuing MBS 306 An Option
Based Prepayment Model for Mortgages 307 Valuation of Mortgages 311 A Closer Look At Leapers and Laggards 319 Valuation of MBS 323 Index 327