Managing MBS Portfolios

Front Cover
John Wiley & Sons, Nov 15, 1998 - Business & Economics - 228 pages
1 Review
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.

Contents

Introduction
1
Mortgage Loans
11
Passthroughs Mortgage Strips and Callable Passthroughs
21
Agency Collateralized Mortgage Obligations
45
CreditSensitive MortgageBacked Securities
83
Prepayment Analysis
109
Collateral Analysis of Derivative Mortgage Products
125
Structure Analysis for Derivative Mortgage Products
137
Repos Dollar Rolls and Mortgage Swaps
145
Measuring the Interest Rate Risk of a MortgageBacked Security
157
OAS Analysis Using Monte Carlo Simulation
175
Component Analysis of Complex Derivative Mortgage Products
189
Total Return Analysis and Portfolio ConstructionOptimization
205
Index
221
iii
224
Copyright

Common terms and phrases

About the author (1998)

Frank J. Fabozzi is editor of the Journal of Portfolio Management and an Adjunct Professor of Finance at Yale University’s School of Management. Frank is a Chartered Financial Analyst and Certified Public Accountant. He is on the board of directors of the Guardian Life family of funds and the BlackRock complex of funds. He earned a doctorate of economics from the City University of New York in 1972 and in 1994 received an honorary doctorate of Human Letters from Nova Southeastern University. Frank is a Fellow of the International Center for Finance at Yale University.