Mortgage backed securities: Products structuring and analytical techniques

By:

Fabozzi, Frank J et al

Material type: Text

TextPublication details: 2007 John Wiley & Sons ChichesterDescription: 318 p. 24 c; PbkISBN:

978-0-470-04773-6

Subject(s):

Derivatives

Contents:

Preface. PART ONE: Introduction to Mortgage and MBS Markets. 1: Overview of Mortgages and the Consumer Mortgage Market 2: Overview of the Mortgage-Backed Securities Market PART TWO: Prepayment and Default Metrics and Behavior 3: Measurement of Prepayments and Defaults 4: Prepayment Behavior and Performance PART THREE: Structuring. 5: Introduction to MBS Structuring Techniques 6: Fundamental MBS Structuring Techniques 7: Fundamental MBS Structuring Techniques: Divisions of Interest 8: Structuring Private Label CMOs 9: The Structuring of Mortgage ABS Deals PART FOUR: Valuation and Analysis. 10: Techniques for Valuing MBS 11: Measuring MBS Interest Rate Risk 12: Evaluating Senior MBS and CMOs APPENDIX: An Option-Theoretic Approach to Valuing MBS. INDEX.

Summary: "Written in a straightforward and accessible style, and containing numerous illustrations, this timely guide addresses the investment characteristics, creation, and analysis of mortgage-backed securities. Each chapter contains cutting-edge concepts that you'll need to understand in order to thrive within this arena - including detailed explanations of how MBS products, such as agency CMOs and mortgage ABS, are structured - as well as in-depth discussions of option-adjusted spreads, a variety of duration measures, and other analytical approaches used to assess relative value."--Jacket.

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Preface.
PART ONE: Introduction to Mortgage and MBS Markets.
1: Overview of Mortgages and the Consumer Mortgage Market
2: Overview of the Mortgage-Backed Securities Market
PART TWO: Prepayment and Default Metrics and Behavior
3: Measurement of Prepayments and Defaults
4: Prepayment Behavior and Performance
PART THREE: Structuring.
5: Introduction to MBS Structuring Techniques
6: Fundamental MBS Structuring Techniques
7: Fundamental MBS Structuring Techniques: Divisions of Interest
8: Structuring Private Label CMOs
9: The Structuring of Mortgage ABS Deals
PART FOUR: Valuation and Analysis.
10: Techniques for Valuing MBS
11: Measuring MBS Interest Rate Risk
12: Evaluating Senior MBS and CMOs
APPENDIX: An Option-Theoretic Approach to Valuing MBS. INDEX.

"Written in a straightforward and accessible style, and containing numerous illustrations, this timely guide addresses the investment characteristics, creation, and analysis of mortgage-backed securities. Each chapter contains cutting-edge concepts that you'll need to understand in order to thrive within this arena - including detailed explanations of how MBS products, such as agency CMOs and mortgage ABS, are structured - as well as in-depth discussions of option-adjusted spreads, a variety of duration measures, and other analytical approaches used to assess relative value."--Jacket.

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