Managing a portfolio of mortgage-backed securities requires an understanding of the unique risk/return characteristics of these securities and the tools for constructing a portfolio to satisfy investment objectives. The authors describe the wide range of agency and nonagency MBS and the anlytical tools needs by investors to effecitvely manage portfolios of these securities to enhance returns while controlling risk.
Book Details:
- Author: Frank J. Fabozzi
- ISBN: 9780470332856
- Year Published: 1998
- Pages: 232
- BISAC: BUS036000, BUSINESS & ECONOMICS/Investments & Securities / General
About the Book and Topic:
Managing a portfolio of mortgage-backed securities requires an understanding of the unique risk/return characteristics of these securities and the tools for constructing a portfolio to satisfy investment objectives. The authors describe the wide range of agency and nonagency MBS and the anlytical tools needs by investors to effecitvely manage portfolios of these securities to enhance returns while controlling risk.
1. Introduction 2. Mortgage Loans 3. Passthrough, Mortgage Strips, and Callable Passthroughs 4. Agency CMOs 5. Credit-Sensitive Mortgage-Backed Securities 6. Prepayment Analysis 7. Collateral Analysis of Derivative Mortgage Products 8. Structure Analysis of Derivative Mortgage Products 9. Leveraging MBS Portfolios: Repos, Dollar Rolls, and Mortgage Swaps 10. Measuring the Interest Rate Risk of a Mortgage-Backed Security 11. OAS Analysis Using Monte Carlo Simulation 12. Component Analysis of Complex Derivative Mortgage Products 13. Simulation and Total Return Analysis and Portfolio Optimization
About the Author
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.