Managing MBS Portfolios
Managing a portfolio of mortgage-backed securities requires an understanding of the unique risk/return characteristics of these securities-and the use of specific tools for constructing a portfolio to satisfy investment objectives. Managing MBS Portfolios explores mortgage-backed securities and describes the wide range of agency and non-agency MBS available, while providing the analytical tools necessary to effectively manage portfolios. With Managing MBS Portfolios you can finally start enhancing returns on your portfolio and safely control risk at the same time.
What people are saying - Write a review
We haven't found any reviews in the usual places.
Passthroughs Mortgage Strips and Callable Passthroughs
Agency Collateralized Mortgage Obligations
CreditSensitive MortgageBacked Securities
Collateral Analysis of Derivative Mortgage Products
Structure Analysis for Derivative Mortgage Products
Repos Dollar Rolls and Mortgage Swaps
Measuring the Interest Rate Risk of a MortgageBacked Security
OAS Analysis Using Monte Carlo Simulation
Component Analysis of Complex Derivative Mortgage Products
Total Return Analysis and Portfolio ConstructionOptimization
100 basis points accrual bond amortization amount assuming basis points benchmark bond classes bond market index borrower cash flow Chapter CMO structure collateral completely paid contraction risk convexity coupon rate created credit enhancement credit quality dealer default disburse principal payments dollar example Exhibit extension risk Fabozzi Fannie Mae FHLMC fixed,rate bond FNMA Freddie Mac funds Ginnie Mae GNMA GWAC homeowners interest rate paths inverse floater investment investor key rate durations lender leverage LIBOR ment million month mortgage balance mortgage loans mortgage rates mortgage,backed securities nonagency securities option outstanding PAC bond par value passthrough securities paydown payments to tranche percentage price change periodic coupon interest pool portfolio manager prepay prepayment model prepayment rate prepayment risk prepayment speed re,REMIC refinancing REMIC repo reset schedule of principal scheduled principal simulation spread superfloater support bond swap total return Treasury weighted average yield curve