The Handbook of Mortgage Backed Securities - Hardcover

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9781557385765: The Handbook of Mortgage Backed Securities

Hardcover

ISBN 10: 1557385769 ISBN 13: 9781557385765

Publisher: Probus Professional Pub, 1995

This fourth edition provides unparalleled coverage of every aspect of the mortgage-backed securities market. Authoritative and comprehensive, The Handbook thoroughly explains the fundamentals and investment characteristics of mortgage-backed securities as well as state-of-the-art investment strategies.

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From the Back Cover:

The Definitive Book on Mortgage-Backed Securities��Now Revised and Updated

The Handbook of Mortgage-Backed Securities is the classic�� and single best�� resource for understanding and trading mortgage-backed securities. All professionals in the MBS market�� from portfolio managers and traders to originators and consultants��will gain new insights from its discussions of the latest fundamentals, characteristics, and profit strategies.

New material in this updated fifth edition includes:

Updated Overview of the Mortgage Market
Securities Backed by Adjustable-Rate Mortgages
Prepayment Penalty Mortgage-Backed Securities
Building an MBS Index: Conventions and Calculations
Nonagency CMOs
Securities Backed by Closed-End Home Equity Loans
Securities Backed by Manufacturing Housing Loans
Mortgage Credit Analysis
Credit Performance of High LTV Loans
Overview of Recent Prepayment Behavior and Advances in Its Modeling
GNMA ARM Prepayment Model
The Next Generation of Prepayment Models to Value Nonagency MBS
Prepayment Insight: Saxon Mortgage Home Equity Portfolio
ARMS Analysis
Uncovering Value in Terminal Value PSA
Analysis of Low Loan Balance MBS
Analysis of Low-WAC MBS
The Combined Effects of Low-WAC and Low-Balance on MBS Valuation
Hedging with Swaps and Agencies
Hedge Effectiveness: A Study by Price Bucket
Hedging IOs and Mortgage Servicing
Commercial Mortgage-Backed Securities
Value and Sensitivity of CMBS IOs
CMBS Collateral Performance
Mortgage-Backed Securities in Germany, the Netherlands, and Australia
Commercial-Backed Securities in Japan

A classic of investment literature, The Handbook of Mortgage-Backed Securities provides unparalleled coverage of every aspect of the mortgage-backed securities market. Authoritative and comprehensive, it explains both the fundamentals and investment characteristics of mortgage-backed securities, as well as state-of-the-art strategies for capitalizing on opportunities.

The fifth edition of the Handbook is very much a new book. Twenty-nine of the chapters are either new or have been substantially revised. The book fully reflects the most recent developments in the mortgage-backed securities market, in terms of both product development and financial technology.

Compiled by Frank J. Fabozzi, the Handbook features contributions from a wide range of experts. Entirely new sections on credit sensitive mortgage-backed securities, prepayment modeling, and non-U.S. mortgage-backed securities help to provide a seamless transition into the 24-hour, global financial markets of the 21st century. As a result, readers are given a well-rounded, real-world perspective on this dynamic and multifaceted market��with the Handbook's well-known focus on applied materials and techniques making this updated edition required reading for all market practitioners.

The Handbook is divided into seven sections:

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
Non-U.S. Mortgage-Backed Securities

By providing hands-on information vital to market participants, previous editions of The Handbook of Mortgage-Backed Securities were instrumental in fueling the growth of the mortgage-backed securities market. The fifth edition contains all the elements that made the previous four editions so successful and influential��and continues the book's long tradition of providing cutting edge information for investors, traders, and other professionals involved in the mortgage-backed securities market.

About the Author:

Frank J. Fabozzi, Ph.D., is adjunct professor of finance at Yale's School of Management and is editor of The Journal of Portfolio Management. Dr. Fabozzi��a Chartered Financial Analyst and Certified Public Accountant, and the editor or author of dozens of acclaimed financial books��is widely regarded as one of the world's foremost authorities on fixed income securities. Prior to joining Yale's faculty, he was on the faculty of MIT's Sloan School of Management.

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