Advances in the Valuation and Management of Mortgage-Backed Securities
Frank J. Fabozzi Series
1. Edition January 1999
334 Pages, Hardcover
Wiley & Sons Ltd
ISBN:
978-1-883249-52-6
John Wiley & Sons
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.
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.
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.
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.
