This edition, revised since the subprime mortgage crisis, is designed to provide not only the fundamentals of mortgage-backed securities and the investment characteristics that make them attractive to a broad range of investors, but also extensive coverage of state-of-the-art strategies for capitalizing on the opportunities in this market.
Inhaltsverzeichnis
- PART ONE: BACKGROUND
- 1: Bill Berliner, Adam Quinones and Anand K. Bhattacharya: Mortgage Loans to Mortgage-Backed Securities
- 2: David M.Lukach,Thomas Knox, Eliza Kwong, and Anoop Lall: Understanding the Prospectus and Prospectus Supplement for Mortgage-Backed Securities
- 3: Frank J. Fabozzi: Cash Flow Mathematics For Agency Mortgage-Backed Securities
- 4: Sharon Brown-Hruska, Georgi Tsvetkov, and Trevor Wagener: New Regulations for Securitizations and Asset-Backed Securities
- 5: Andrew Carron, Anne Gron and Thomas Schopflocher: Impact of the Credit Crisis on Mortgage-Backed Securities
- PART TWO: AGENCY RMBS: BASIC PRODUCTS
- 6: Frank J. Fabozzi, Glenn Schultz, and Linda Lowell: Agency Mortgage Passthrough Securities
- 7: Bill Berliner, Anand K. Bhattacharya, and Steve Banerjee: Hybrid ARMs
- 8: Anand K. Bhattacharya, Bill Berliner, and Steve Banerjee: Customized Mortgage-Backed Securities
- 9: Debra Chen: Single Family Rental Deals
- 10: Debra Chen: GSE Credit Risk Transfer Deals
- 11: Philip Obazee and Ion Dan: Agency Mortgage-Backed Securities: Performance, Valuation and Risk Premium Comparatives
- PART THREE: AGENCY RMBS: MUTLI-CLASS
- 12: Frank J. Fabozzi: Agency Collateralized Mortgage Obligations
- 13: William Irving, Linda Lowell, and Frank J. Fabozzi: Agency Planned Amortization Class Bonds
- 14: Glenn Schultz, Linda Lowell, and Frank J. Fabozzi: Accrual Bonds/Z Bonds
- 15: Linda Lowell, Glenn Schultz, and Frank J. Fabozzi: Support Bonds with Schedules
- 16: Airat Chanyshev, Esther Bruegger, and Erin McHugh: Floating Rate Mortgage Securities
- 17: Cyrus Mohebbi, Raymond Yu, Marc Barakat, and Paula Steisel Goldfarb: Inverse Floating-Rate CMOs
- 18: Cyrus Mohebbi, Raymond Yu, Ardeshir Shahmaei, and Paula Steisel Goldfarb: Stripped Mortgage-Backed Securities
- PART FOUR: PRIVATE LABEL MBS
- 19: Mark Adelson: Lessons of the Financial Crisis for Private-Label MBS
- 20: Frank J. Fabozzi and Bill Berliner: Credit Enhancement
- 21: Thomas Schopflocher and Jordan Milev: Introduction to Covered Bonds
- PART FIVE: COMMERCIAL MORTGAGE-BACKED SECURITIES
- 22: Ed Daingerfield: Agency Commercial Mortgage Securities
- 23: Philip O. Obazee and Duane C. Hewlett: CMBS Collateral Performance: Measures and Valuations
- PART SIX: VALUATION AND PREPAYMENT MODELING
- 24: Rajashri (Priya) Joshi, Tom Davis, and Bill McCoy,: Valuation of Agency Mortgage-Backed Securities
- 25: Jonathon Weiner: Modeling Prepayments and Defaults for MBS Valuation
- 26: Steve Banerjee, Anand K. Bhattacharya and Bill Berliner: Contemporary Challenges in Loan-Level Prepayment Modeling
- 27: Bill Berliner and Anand Bhattacharya: Issues and Challenges in Non-Agency Mortgage Securitizations
- 28: Faten Sabry, Ignacio Franceschelli, and Drew Claxton: Residential Mortgage Defaults, Foreclosures and Modifications
- PART SEVEN: PORTFOLIO MANAGEMENT TOOLS AND TECHNIQUES
- 29: Eric M. Wang and Bruce D. Phelps: Managing against the Barclays MBS Index: Prices and Returns
- 30: Nikki Stefanelli and Bruce D. Phelps: MBS Index Replication with TBAs
- 31: Frank J. Fabozzi: Alternative Methods for Estimating Duration for Mortgage-Backed Securities
- 32: Brett R. Dunn. Kenneth B. Dunn, Frank J. Fabozzi, and Roberto Sella: Hedging Agency Mortgage-Related Securities
- 33: Bill Berliner and Anand Bhattacharaya: Dollar Rolls
- 34: Chudozie Okongwu, Timothy McKenna, Oksana Kitaychik, and Giulio Renzi-Ricci: Credit Derivatives and Mortgage-Backed Securities
- 35: Mark Fontanilla: A Framework for Determining Relative Value in the Agency MBS Market
