Managing a portfolio of mortgage-backed securities, one of the investment world’s fastest-growing segments, requires a thorough understanding of the risk/return qualities and the tools needed to construct a solid portfolio. Advances in the Valuation and Management of Mortgage-Backed Securities covers the latest developments for valuing mortgage-backed securities and measuring and controlling the interest rate risk of these securities. Topics included are: 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; hedging mortgage instruments against level risk and yield curve risk.
Book Details:
- Author: Frank J. Fabozzi
- ISBN: 9780470334751
- Year Published: 1998
- Pages: 317
- BISAC: BUS036000, BUSINESS & ECONOMICS/Investments & Securities / General
About the Book and Topic:
Managing a portfolio of mortgage-backed securities, one of the investment world’s fastest-growing segments, requires a thorough understanding of the risk/return qualities and the tools needed to construct a solid portfolio. Advances in the Valuation and Management of Mortgage-Backed Securities covers the latest developments for valuing mortgage-backed securities and measuring and controlling the interest rate risk of these securities. Topics included are: 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; hedging mortgage instruments against level risk and yield curve risk.
1. Decomposition of Mortgage Spreads (Anand Bhattacharya and Inna Koren) 2. Replicating the MBS Index Risk and Return Characteristics Using Proxy Portfolios (Amin Majidi) 3. Market-Neutral Trading Strategies (George Hall) 4. Total Return Analysis in CMO Portfolio Management ( David Canuel and Charles Melchreit) 5. Non-Traded Factors in MBS Portfolio Management (Alexander Levin and James Daras) 6. Valuation of CMOs (Frank . Fabozzi, Scott Richard, and David Horowitz) 7. Valuation and Portfolio Risk Managment with Mortgage-Backed Securities (Stavros A. Zenios) 8. Valuation of PAC Bonds without Complex Models (Cliff Asness and Michael Smirlock) 9. A Portfolio Manager’s Perspective of Inverses and Inverse IOs (William Leach 10. Forward Rates and CMO Portfolio Management (Clifford Asness and Jonathan Beinner) 11. A New Approach to Option-Adjusted Valuation of MBS on a Multi-Scenario Grid (Alexander Levin) 12. Arbitrage Free MBS Canonical Decomposition (Thomas Ho and Michael Chen) 13. A Practical Guide to Relative Value for Mortgages (Wesley Phoa) 14. Hedging Mortgage Passthrough Securities (Kenneth Dunn and Roberto Sella) 15. An Integrated Approach to Mortgage Hedging and Relative Value Analysis (Laurie. Goodman and Jeffrey Ho) 16. Yield Curve Risk of CMO Bonds (Michael Schumacher, Dan Decktar and Frank Fabozzi) 17. Valuation and Analysis of ARMs (Satish Mansukhani) 18. Understanding and Valuing Callable REMICs (Brian Lancaster, Mark Feldman, and Brian Ye)
About the Author
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.