The Handbook of Mortgage-Backed Securities, 7th Edition / Edition 7

by Frank J. Fabozzi

Overview

This edition of The Handbook of Mortgage-Backed Securities, the first revision following the subprime mortgage crisis, is designed to provide not only the fundamentals of these securities and the investment characteristics that make them attractive to a broad range of investors, but also extensive coverage on the state-of-the-art strategies for capitalizing on the opportunities in this market. The book is intended for both the individual investor and the professional manager. The volume includes contributions from a wide range of experts most of whom have been actively involved in the evolution of the mortgage-backed securities market.

Product Details

ISBN-13:	9780198785774
Publisher:	Oxford University Press
Publication date:	10/18/2016
Pages:	832
Sales rank:	525,119
Product dimensions:	7.20(w) x 9.70(h) x 1.90(d)

About the Author

Frank J. Fabozzi, Professor of Finance, EDHEC Business School

Frank J. Fabozzi is editor of the Journal of Portfolio Management, Professor of Finance at EDHEC Business School, and a Senior Scientific Adviser at EDHEC-Risk Institute. A CFA holder, Professor Fabozzi is a trustee for the BlackRock closed-end fund complex. He received the CFA Institute's 'C. Stewart Sheppard Award' in 2007, as well as the 'James R. Vertin Award' in 2015. He was inducted into the Fixed Income Analysts Society Hall of Fame in November 2002. He has authored and edited numerous books in fixed income analysis and portfolio management.

Table of Contents

PART ONE: BACKGROUND1. Mortgage Loans to Mortgage-Backed Securities, Bill Berliner, Adam Quinones and Anand K. Bhattacharya2. Understanding the Prospectus and Prospectus Supplement, David M. Lukach,Thomas Knox, Eliza Kwong, and Anoop Lall3. Cash Flow Mathematics For Agency Mortgage-Backed Securities, Frank J. Fabozzi4. New Regulations for Securitizations and Asset-Backed Securities, Sharon Brown-Hruska, Georgi Tsvetkov, and Trevor Wagener5. Impact of the Credit Crisis on MBS Markets, Andrew Carron, Anne Gron, and Tom SchopflocherPART TWO: AGENCY RMBS: BASIC PRODUCTS6. Agency Passthroughs, Frank J. Fabozzi, Glenn Schultz, and Linda Lowell7. Hybrid ARMs, Bill Berliner, Anand K. Bhattacharya, and Steve Banerjee8. Customized Mortgage-Backed Securities, Anand K. Bhattacharya, Bill Berliner, and Steve Banerjee9. Single Family Rental Deals, Debra Chen10. Agency Credit Risk Sharing Deals, Debra Chen11. Agency Mortgage-Backed Securities: Performance, Valuation and Risk Premium Comparatives, Philip Obazee and Ion DanPART THREE: AGENCY RMBS: MUTLI-CLASS12. Agency CMOs, Frank Fabozzi13. Agency Planned Amortization Class Bonds, William Irving, Linda Lowell, and Frank J. Fabozzi14. Accrual Bonds/Z Bonds, Glenn Schultz, Linda Lowell, and Frank J. Fabozzi15. Support Bonds with Schedules, Linda Lowell, Glenn Schultz, and Frank J. Fabozzi16. Floating Rate Mortgage Securities: CMOs and RMBS, Airat Chanyshev, Esther Bruegger, and Erin McHugh17. Inverse Floating-Rate CMOs, Cyrus Mohebbi, Raymond Yu, Marc Barakat, and Paula Steisel Goldfarb18. Stripped Mortgage-Backed Securities, Cyrus Mohebbi, Gary Li, and Todd WhitePART FOUR: PRIVATE LABEL MBS19. Lessons of the Financial Crisis for Private-Label MBS, Mark Adelson20. Credit Enhancement, Frank J. Fabozzi and Bill Berliner21. Covered Bonds, Thomas Schopflocher and Jordan MilevPART FIVE: COMMERCIAL MORTGAGE-BACKED SECURITIES22. Agency Commercial Mortgage Securities, Ed Daingerfield23. CMBS Collateral Performance: Measures and Valuations, Philip O. Obazee and Duane C. HewlettPART SIX: VALUATION AND PREPAYMENT MODELING24. Valuation of Agency Mortgage-Backed Securities, Rajashri (Priya) Joshi, Tom Davis, and Bill McCoy,25. Prepayment Modeling, Jonathon Weiner26. Contemporary Challenges in Loan-Level Prepayment Modeling, Steve Banerjee, Anand K. Bhattacharya and Bill Berliner27. Issues and Challenges in Non-Agency Mortgage Securitizations, William Berliner and Anand Bhattacharya28. Residential Mortgage Defaults, Foreclosures and Modifications, Faten Sabry, Ignacio Franceschelli, and Drew ClaxtonPART SEVEN: PORTFOLIO MANAGEMENT TOOLS AND TECHNIQUES29. Managing Against the Barclays Capital MBS Index: MBS Index Prices, Eric M. Wang and Bruce D. Phelps30. MBS Index Replication with TBAs, Nikki Stefanelli and Bruce D. Phelps31. Alternative Methods for Estimating Duration for Mortgage-Backed Securities, Frank J. Fabozzi32. Hedging Agency Mortgage-Related Securities, Brett R. Dunn. Kenneth B. Dunn, Frank Fabozzi, and Roberto Sella33. Dollar Rolls, William Berliner and Anand Bhattacharaya34. Credit Derivatives and MBS, Chu Okongwu, Tim McKenna, Oksana Kitaychik, and Giulio Renzi Ricci35. A Framework for Determining Relative Value in the Agency MBS Market, Mark Fontanilla