Investing in Mortgage-Backed and Asset-Backed Securities, + Website: Financial Modeling with R and Open Source Analytics

Front Cover
John Wiley & Sons, Jan 26, 2016 - Business & Economics - 416 pages
0 Reviews
A complete guide to investing in and managing a portfolio ofmortgage- and asset-backed securities

Mortgage- and asset-backed securities are not as complex as theymight seem. In fact, all of the information, financial models, andsoftware needed to successfully invest in and manage a portfolio ofthese securities are available to the investment professionalthrough open source software. Investing in Mortgage andAsset-Backed Securities + Website shows you how to achieve thisgoal.

The book draws entirely on publicly available data and opensource software to construct a complete analytic framework forinvesting in these securities. The analytic models used throughoutthe book either exist in the quantlib library, as an R package, orare programmed in R and incorporated into the analytic frameworkused.

  • Examines the valuation of fixed-incomesecurities—metrics, valuation framework, and returnanalysis
  • Covers residential mortgage-backed securities—securitycash flow, mortgage dollar roll, adjustable rate mortgages, andprivate label MBS
  • Discusses prepayment modeling and the valuation of mortgagecredit
  • Presents mortgage-backed securities valuationtechniques—pass-through valuation and interest ratemodels

Engaging and informative, this book skillfully shows you how tobuild, rather than buy, models and proprietary analytical platformsthat will allow you to invest in mortgage- and asset-backedsecurities.

 

What people are saying - Write a review

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

Contents

CHAPTER 2
9
CHAPTER 3
23
CHAPTER 4
53
CHAPTER 5
69
Understanding Mortgage Lending and Loans
81
CHAPTER 7
93
CHAPTER 8
103
CHAPTER 9
129
CHAPTER 14
225
CHAPTER 15
243
CHAPTER 16
259
CHAPTER 17
279
CHAPTER 18
287
CHAPTER 19
301
CHAPTER 20
313
CHAPTER 21
333

PART THREE
153
Relative Value Analysis
169
CHAPTER 12
181
CHAPTER 13
215
The Basics of PrivateLabel MBS
343
CHAPTER 23
359
About the Website
367
Copyright

Common terms and phrases

About the author (2016)

GLENN M. SCHULTZ is the Director of mortgage analytics for Performance Trust Capital Partners. He co-edited (with Frank Fabozzi) Structured Products and Related Credit Derivatives (Wiley), as well as authored several chapters in the Handbook of MBS Securities and The Handbook of Fixed Income Securities.

Bibliographic information