Investing in Mortgage-Backed and Asset-Backed Securities

Beschreibung

A Complete Guide to Investing in and Managing a Portfolio of Mortgage- and Asset-Backed Securities-Using Freely Available Public Data and Open Source Analytics Investing in Mortgage-Backed and Asset-Backed Securities is your open source guide to investing in the market of mortgage-backed (MBS) and asset-backed (ABS) securities. All of the financial data and software used in this book are available via open source, and the financial software used is freely available to you, too, on the companion website. Bond Lab(r) is the first open source, object-oriented software designed to analyze structured securities, and with it you can reproduce all the research and proprietary valuation models inside, as well as customize the analysis and create your own technology stack. Focused explanations written in a clear, illustrative narrative quickly get you up to speed on: * The valuation of fixed-income securities-metrics, valuation framework, and return analysis * Residential mortgage-backed securities-security cash flow, mortgage dollar roll, adjustable rate mortgages, and private label MBS * Prepayment modeling and the valuation of mortgage credit * Mortgage-backed securities valuation techniques-pass-through valuation and interest rate models * Complete with a structuring tool, REMIC arbitrage and derivative MBS execution are clearly outlined and explained to the reader Investing in Mortgage-Backed and Asset-Backed Securities is your open source solution to understanding, navigating, and investing in this rich market.
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.

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Glenn M. Schultz

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