Advances in the Valuation and Management of Mortgage-Backed Securities

by Fabozzi, Frank J.

• ISBN13: 9781883249526
• ISBN10: 188324952X
• Edition: 1st
• Format: Hardcover
• Copyright: 1999-01-15
• Publisher: Wiley

Summary

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.

Author Biography

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.

Table of Contents

Contributing Authors	v
Decomposition of Mortgage Spreads	1	(18)
Anand Bhattacharya
Inna Koren
Replicating the MBS Index Risk and Return Characteristics Using Proxy Portfolios	19	(8)
Amin Majidi
Market Neutral Trading Strategies	27	(14)
George Hall
Total Return Analysis in CMO Portfolio Management	41	(18)
David E. Canuel
Charles F. Melchreit
Non-Traded Factors in MBS Portfolio Management	59	(14)
Alexander Levin
D. James Daras
Valuation of CMOs	73	(20)
Frank J. Fabozzi
Scott F. Richard
David S. Horowitz
Valuation and Portfolio Risk Management with Mortgage-Backed Securities	93	(20)
Stavros A. Zenios
The Valuation of PAC Bonds Without Complex Models	113	(10)
Clifford S. Asness
Michael Smirlock
A Portfolio Manager's Perspective of Inverses and Inverse IOs	123	(12)
William R. Leach
Forward Rates and CMO Portfolio Management	135	(12)
Clifford S. Asness
Jonathan A. Beinner
A New Approach to Option-Adjusted Valuation of MBS on a Multi-Scenario Grid	147	(24)
Alexander Levin
Arbitrage-Free MBS Canonical Decomposition	171	(16)
Thomas S. Y. Ho
Michael Z. H. Chen
A Practical Guide to Relative Value for Mortgages	187	(20)
Wesley Phoa
Hedging Mortgage Passthrough Securities	207	(10)
Kenneth B. Dunn
Roberto M. Sella
An Integrated Approach to Mortgage Hedging and Relative Value Analysis	217	(14)
Laurie S. Goodman
Jeffrey Ho
Yield Curve Risk of CMO Bonds	231	(28)
Michael P. Schumacher
Daniel C. Dektar
Frank J. Fabozzi
Valuation and Analysis of ARMs	259	(22)
Satish M. Mansukhani
Understanding and Valuing Callable REMICs	281	(22)
Brain Lancaster
Mark Feldman
Brain Ye
Index	303