Mortgage Valuation Models: Embedded Options, Risk, and Uncertainty

 Buch
Besorgungstitel | Lieferzeit:3-5 Tage I
ISBN-13:
9780199998166
Einband:
Buch
Erscheinungsdatum:
19.06.2014
Seiten:
453
Autor:
Andrew Davidson
Gewicht:
830 g
Format:
244x161x35 mm
Serie:
Financial Management Associati
Sprache:
Englisch
Beschreibung:

Introduction ; Part 1 Fundamentals of MBS Risk and Valuation ; Chapter 1 Dimensions of Uncertainty ; Chapter 2 Fundamentals of Securitization ; Chapter 3 Investors in Mortgage-Backed Securities ; Chapter 4 Valuation with Risk Factors and Risk Neutrality ; Chapter 5 Short-Rate Term-Structure Modeling ; Chapter 6 Risk-Neutral Modeling Using Forward and Futures Prices ; Part 2 Modeling and Valuation of Agency MBS ; Chapter 7 Agency Pool Prepayment Models ; Chapter 8 Engineering of Valuation Models without Simulations ; Chapter 9 Monte Carlo Methods ; Chapter 10 Applications of the OAS Valuation Approach to Agency MBS ; Chapter 11 Prepayment Risk Neutrality (the concept of prOAS) ; Part 3 Modeling and Valuation of Non-Agency MBS ; Chapter 12 Loan Level Modeling of Prepayment and Default ; Chapter 13 The Concept of Credit OAS ; Chapter 14 Empirical Modeling of Home Prices ; Chapter 15 Credit Analysis on a Scenario Grid and Analytical Shortcuts ; Part 4 Analysis of the 2008-2009 Financial Crisis ; Chapter 16 Lesson #1: The Role of Financing and Affordability in the Formation of Housing Prices ; Chapter 17 Lesson #2: The CDO Calamity and Six Degrees of Separation ; Chapter 18 Lesson #3: Fair versus Intrinsic Valuation under Market Duress ; Part 5 Building a Healthy Housing Finance System ; Chapter 19 How to Measure Risk, Rank Deals and Set Aside Capital ; Chapter 20 How to Price New Loans ; Chapter 21 The Future of Housing Finance and MBS Modeling ; References
Valuation of mortgage-backed securities requires blending empirical analysis of borrower behavior and mathematical modeling of interest rates and home prices, with recognition of various prices of risk and uncertainty. This book offers a detailed description of the sophisticated theories and advanced methods used for the real-world valuation of MBS.

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