Advances in the Valuation and Management of Mortgage-Backed Securities

Front Cover
Frank J. Fabozzi, CFA
John Wiley & Sons, Jan 15, 1999 - Business & Economics - 317 pages
1 Review
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.
 

What people are saying - Write a review

We haven't found any reviews in the usual places.

Contents

Decomposition of Mortgage Spreads
1
Replicating the MBS Index Risk and Return Characteristics
19
Market Neutral Trading Strategies
27
Total Return Analysis in CMO Portfolio Management
41
NonTraded Factors in MBS Portfolio Management
59
Valuation of CMOs
73
Valuation and Portfolio Risk Management with
93
The Valuation ofPAC Bonds Without Complex Models
113
A Portfolio Managers Perspective of Inverses and Inverse IOs
123
Forward Rates and CMO Portfolio Management
135
A New Approach to OptionAdjusted Valuation of MBS on a
147
ArbitrageFree MBS Canonical Decomposition
171
Copyright

Common terms and phrases

References to this book

About the author (1999)

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.

Bibliographic information