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Mortgage Valuation Models

Author : Andrew S. Davidson
ISBN : 9780199998166
Genre : Business & Economics
File Size : 24. 30 MB
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Mortgage Backed Securities (MBS) are among the most complex of all financial instruments. Analysis of MBS requires blending empirical analysis of borrower behavior with mathematical modeling of interest rates and home prices. Over the past 25 years, Davidson and Levin have been at the leading edge of MBS valuation and risk analysis. Mortgage Valuation Models: Embedded Options, Risk and Uncertainty is a detailed description of the sophisticated theories and advanced methods that the authors employ in real-world analysis of mortgage backed securities. Issues such as complexity, borrower options, uncertainty, and model risk play a central role in their approach to valuation of MBS. The book describes methods for modeling prepayments and defaults of borrowers. It explores closed form, backward induction and Monte Carlo valuation using the Option-Adjusted-Spread (OAS) approach, explains the origin of OAS and its relationship to model uncertainty. With reference to the classicalCAPM and APT, the book advocates extending the concept of risk-neutrality to modeling home prices and borrower options, well beyond interest rates. The coverage spans the range of mortgage products from loans, TBA (to be announced) pass-through securities to subordinate tranches of subprime-mortgage securitizations and describes valuation methods for both agency and non-agency MBS including pricing new loans; Davidson and Levin put forth new approaches to prudent risk measurement, ranking, and decomposition that can help guide traders and risk managers. It reveals quantitative causes of the 2007-09 financial crisis and provides insights into the future of the US housing finance system and mortgage modeling. Despite the advances in mortgage modeling and valuation, this remains an ever-evolving field. Mortgage Valuation Models will serve as a foundation for the future development of models for mortgage-backed securities.

Advances In Automated Valuation Modeling

Author : Maurizio d'Amato
ISBN : 9783319497464
Genre : Computers
File Size : 55. 93 MB
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This book addresses several problems related to automated valuation methodologies (AVM). Following the non-agency mortgage crisis, it offers a variety of approaches to improve the efficiency and quality of an automated valuation methodology (AVM) dealing with emerging problems and different contexts. Spatial issue, evolution of AVM standards, multilevel models, fuzzy and rough set applications and quantitative methods to define comparables are just some of the topics discussed.

Automated Valuation Models

Author : Mary Lou Downie
ISBN : 1905257120
Genre : Mortgage loans
File Size : 79. 63 MB
Format : PDF, ePub, Docs
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Mortgage Reform And Anti Predatory Lending Act

Author : United States. Congress. House. Committee on Financial Services
ISBN : UOM:39015085441098
Genre : Consumer credit
File Size : 79. 22 MB
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Advances In The Valuation And Management Of Mortgage Backed Securities

Author : Frank J. Fabozzi
ISBN : 188324952X
Genre : Business & Economics
File Size : 85. 36 MB
Format : PDF, ePub
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Advances in the Valuation and Management of Mortgage-Backed Securities details the latest developments for valuing mortgage-backed securities and measuring and controlling the interest rate risk of these securities. Complete coverage includes: 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, and hedging mortgage instruments against level risk and yield curve risk.

Interest Rate Term Structure And Valuation Modeling

Author : Frank J. Fabozzi
ISBN : 9780471446989
Genre : Business & Economics
File Size : 60. 25 MB
Format : PDF
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This ultimate guide contains an excellent blend of theory and practice This comprehensive guide covers various aspects of model building for fixed income securities and derivatives. Filled with expert advice, valuable insights, and advanced modeling techniques, Interest Rate, Term Structure, and Valuation Modeling is a book that all institutional investors, portfolio managers, and risk professionals should have. John Wiley & Sons, Inc. is proud to be the publisher of the esteemed Frank J. Fabozzi Series. Comprising nearly 100 titles-which include numerous bestsellers—The Frank J. Fabozzi Series is a key resource for finance professionals and academics, strategists and students, and investors. The series is overseen by its eponymous editor, whose expert instruction and presentation of new ideas have been at the forefront of financial publishing for over twenty years. His successful career has provided him with the knowledge, insight, and advice that has led to this comprehensive series. Frank J. Fabozzi, PhD, CFA, CPA, is Editor of the Journal of Portfolio Management, which is read by thousands of institutional investors, as well as editor or author of over 100 books on finance for the professional and academic markets. Currently, Dr. Fabozzi is an adjunct Professor of Finance at Yale University's School of Management and on the board of directors of the Guardian Life family of funds and the Black Rock complex of funds.

An Empirical Test Of A Two Factor Mortgage Valuation Model

Author : Chris Downing
ISBN : CORNELL:31924097215622
Genre : Default
File Size : 66. 1 MB
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Investing In Mortgage Backed And Asset Backed Securities Website

Author : Glenn M. Schultz
ISBN : 9781118944004
Genre : Business & Economics
File Size : 32. 37 MB
Format : PDF, Docs
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A complete guide to investing in and managing a portfolio of mortgage- and asset-backed securities Mortgage- and asset-backed securities are not as complex as they might seem. In fact, all of the information, financial models, and software needed to successfully invest in and manage a portfolio of these securities are available to the investment professional through open source software. Investing in Mortgage and Asset-Backed Securities + Website shows you how to achieve this goal. The book draws entirely on publicly available data and open source software to construct a complete analytic framework for investing in these securities. The analytic models used throughout the book either exist in the quantlib library, as an R package, or are programmed in R and incorporated into the analytic framework used. Examines the valuation of fixed-income securities—metrics, valuation framework, and return analysis Covers residential mortgage-backed securities—security cash flow, mortgage dollar roll, adjustable rate mortgages, and private label MBS Discusses prepayment modeling and the valuation of mortgage credit Presents mortgage-backed securities valuation techniques—pass-through valuation and interest rate models Engaging and informative, this book skillfully shows you how to build, rather than buy, models and proprietary analytical platforms that will allow you to invest in mortgage- and asset-backed securities.

The Handbook Of Nonagency Mortgage Backed Securities

Author : Frank J. Fabozzi
ISBN : 1883249686
Genre : Business & Economics
File Size : 83. 90 MB
Format : PDF, ePub, Docs
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Frank Fabozzi and Chuck Ramsey update their treatise on nonagency mortgage backed securities in this third edition of The Handbook of Nonagency Mortgage Backed Securities. Focused on an important investing area that continues to grow, this book provides comprehensive coverage of all aspects of this specialized market sector, including the mortgage-related asset-backed securities market and commercial mortgage-backed securities. There is information on raw products, such as jumbo loans, alternative A mortgages, and 125 LTV mortgages, as well as structured products, analytical techniques, prepayment characteristics, and credit issues. This fast-growing segment also includes nonagency pass through, nonagency collateralized mortgage obligations, home loan equity-backed securities, and manufacture housing loan backed securities.

Housing Prices And The In Stability Of Mortgage Prepayment Models

Author : Joe P. Mattey
ISBN : UCSD:31822023648660
Genre : Mortgage loans
File Size : 34. 32 MB
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The Federal Reserve Bank of San Francisco presents the full text of an article entitled "Housing Prices and the (In)stability of Mortgage Prepayment Models: Evidence from California," by Joe Mattey and Nancy Wallace. The article discusses three sources of risk that lead to observed mortgage payment terminations: interest-rated related refinancing, default, and moving.

Rational Mortgage Valuation Using Optimal Refinancing Strategies And Heterogeneous Borrowers

Author : John Patrick Harding
ISBN : UCAL:C3385060
Genre :
File Size : 77. 89 MB
Format : PDF
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Modeling Residential Mortgage Performance With Random Utility Models

Author : Carolina Márquez Guerrero
ISBN : UCAL:C3528097
Genre :
File Size : 65. 46 MB
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Securities Valuation

Author : Thomas S. Y. Ho
ISBN : 0195172752
Genre : Business & Economics
File Size : 80. 84 MB
Format : PDF, Kindle
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Securities Valuation: Applications of Financial Modeling is a clear, concise guide to securities valuation and the principles of financial theory. It describes state-of-the-art methods for valuing a broad range of securities: equity, equity and interest rate options, swaps and swaptions, treasuries, corporate bonds with and without credit risks, mortgage-backed securities, collateralized mortgage obligations, credit derivative swaps, and more. Thomas Ho and Sang Bin Lee use their combined fifty years of experience in academia, financial business, and public services to present students and general readers with twenty-six challenging cases. These cases describe the contexts in which financial models are used, the practical complications of these models, and ways to deal with their limitations. Each chapter begins with a problem in valuation, formulates models for it, and then provides the solutions. The assumptions, input data, and output solutions for each model are clearly stated. The model is illustrated by a numerical example rendered in Excel. A companion more than 130 Excel files of all the financial models from this book and its three companion volumes. Users can download the models, analyze them on their spreadsheets, and use them to do practice exercises Securities Valuation: Applications of Financial Modeling is ideal for undergraduate and graduate courses in finance and mathematical finance as well as for professional training programs. It is part of a series on financial modeling by the authors that also includes The Oxford Guide to Financial Modeling. Future titles in the series will focus on financial modeling for options, futures, and derivatives and financial modeling for financial institutions.

The Pricing Of The Intersected Contingent Claims And The Fixed Rate Mortgage

Author : Chia-Wen Lee
ISBN : UCAL:C3368472
Genre :
File Size : 66. 30 MB
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Handbook Of Mortgage Backed Securities

Author : Frank J. Fabozzi
ISBN : 0071663231
Genre : Business & Economics
File Size : 63. 88 MB
Format : PDF, ePub, Mobi
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The definitive guide to mortgage-backed securities --now revised and updated The classic -- and single best -- resource for understanding and trading mortgage-backed securities has been brought fully up to date with The Handbook of Mortgage-Backed Securities, Fifth Edition, giving you timely insights into everything from fundamentals to investment characteristics of mortgage-backed securities, as well as state-of-the-art strategies for capitalizing on opportunities. The Handbook’s seven sections bring you up to speed on mortgages and pass-through securities; stripped mortgage-backed securities and collateralized mortgage obligations; credit-sensitive mortgage-backed securities; prepayment modeling; valuation techniques, relative value analysis, and portfolio strategies; commercial mortgage-backed securities; and non-U.S. mortgage-backed securities. This edition is more than just a revised edition – it’s practically a new book: twenty-nine of the chapters are either new or have been substantially revised, reflecting the most recent developments in the mortgage-backed securities market, in terms of both product development and financial technology. These entirely new sections give you a seamless transition into the 24-hour, global financial markets of the 21st century.

Housing Finance Review

Author :
ISBN : UCAL:B5083174
Genre : Housing
File Size : 57. 37 MB
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Dissertation Abstracts International

Author :
ISBN : STANFORD:36105213180883
Genre : Dissertations, Academic
File Size : 63. 99 MB
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Investment Banking

Author : Joshua Rosenbaum
ISBN : 9781119569367
Genre : Business & Economics
File Size : 49. 17 MB
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One of a kind learning package on Investment Banking by experts Rosenbaum & Pearl that includes Book, Downloadable Models + Online Course (practice questions, lecture videos). Get the foundation you need for success on Wall Street! In the aftermath of the subprime mortgage crisis and ensuing credit crunch, the world of finance is returning to the fundamentals of valuation and critical due diligence for M&A, capital markets, and investment opportunities. This involves the use of more realistic assumptions governing approach to risk as well as a wide range of value drivers. While valuation has always involved a great deal of "art" in addition to time-tested "science," the artistry is perpetually evolving in accordance with market developments and conditions. This unique learning experience, from bestselling authors and investment banking experts Joshua Rosenbaum and Joshua Pearl, provides insight on technical valuation fundamentals as well as practical judgement skills and the industry perspective needed to succeed on Wall Street. This comprehensive learning package includes: Investment Banking: Valuation, Leveraged Buyouts, and Mergers & Acquisitions, 2nd Edition - the highly accessible and authoritative guide to corporate valuation Access to five downloadable valuation model templates, including Comparable Companies Analysis, Precedent Transactions Analysis, Discounted Cash Flow Analysis, Leveraged Buyout Analysis, and M&A models Six-month access to online Wiley Investment Banking Valuation Course featuring bite-sized lessons, over five hours of video lectures, 100+ practice questions, and other investment banking study tools Whether you’re just starting your career in investment banking or looking to dive deeper into valuation, Investment Banking: Valuation Models + Online Course will help you navigate the world of price mergers, acquisitions, and buyout transactions and gain real-world experience with the fundamental analytical tools and methodologies used in valuing companies.

Pricing Mortgage Backed Securities In A Multifactor Interest Rate Environment

Author : Jacob Boudoukh
ISBN : UCLA:L0075922021
Genre : Mortgage bonds
File Size : 69. 15 MB
Format : PDF
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Understanding Securitized Investments And Their Use In Portfolio Management October 23 1990 New York New York

Author : Institute of Chartered Financial Analysts
ISBN : UVA:X002115604
Genre : Asset-backed financing
File Size : 85. 58 MB
Format : PDF, Kindle
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