{"product_id":"investing-in-mortgagebacked-and-assetbacked-securities-website-9781118944004","title":"Investing in MortgageBacked and AssetBacked","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003e\u003cb\u003eA complete guide to investing in and managing a portfolio of mortgage- and asset-backed securities\u003c\/b\u003e  \u003cp\u003eMortgage- 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. \u003ci\u003eInvesting in Mortgage and Asset-Backed Securities + Website\u003c\/i\u003e shows you how to achieve this goal.\u003c\/p\u003e \u003cp\u003eThe 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.\u003c\/p\u003e \u003cul\u003e \u003cli\u003eExamines the valuation of fixed-income securitiesmetrics, valuation framework, and return analysis\u003c\/li\u003e \u003cli\u003eCovers residential mortgage-backed secu\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003cp\u003eForeword iii\u003c\/p\u003e \u003cp\u003eAcknowledgments v\u003c\/p\u003e \u003cp\u003eIntroduction ix\u003c\/p\u003e \u003cp\u003ePreface xix\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart I Valuation of Fixed Income Securities 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 The Time Value of Money 3\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 Present Value 4\u003c\/p\u003e \u003cp\u003e1.2 Future Value 5\u003c\/p\u003e \u003cp\u003e1.3 Present Value of an Annuity 6\u003c\/p\u003e \u003cp\u003e1.4 Future Value of an Annuity 7\u003c\/p\u003e \u003cp\u003e1.5 Solving Financial Questions with Present and Future Value 8\u003c\/p\u003e \u003cp\u003e1.6 Application to Fixed Income Securities 9\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 Theories of the Term Structure of Interest Rates 11\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 The Rational or Pure Expectations Hypothesis 13\u003c\/p\u003e \u003cp\u003e2.2 The Market Segmentation Theory 17\u003c\/p\u003e \u003cp\u003e2.3 The Liquidity Preference Theory 17\u003c\/p\u003e \u003cp\u003e2.4 Modeling the Term Structure of Interest Rates 19\u003c\/p\u003e \u003cp\u003e2.5 Application of Spot and Forward Rates 21\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 Fixed Income Metrics 27\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 Maturity 28\u003c\/p\u003e \u003cp\u003e3.2 Yield to Maturity 28\u003c\/p\u003e \u003cp\u003e3.3 Weighted Average Life 34\u003c\/p\u003e \u003cp\u003e3.4 Duration 36\u003c\/p\u003e \u003cp\u003e3.4.1 Macaulay Duration 37\u003c\/p\u003e \u003cp\u003e3.4.2 Modified Duration 39\u003c\/p\u003e \u003cp\u003e3.5 Convexity 42\u003c\/p\u003e \u003cp\u003e3.6 Fisher-Weil Duration and Convexity 45\u003c\/p\u003e \u003cp\u003e3.7 Effective Duration 51\u003c\/p\u003e \u003cp\u003e3.8 Effective Convexity 53\u003c\/p\u003e \u003cp\u003e3.9 Summing the Aforementioned Measures of Duration and Convexity 54\u003c\/p\u003e \u003cp\u003e3.10 Key Rate Duration 55\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 The Valuation of Fixed Income Securities 59\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 A Valuation Framework for Fixed Income Securities 60\u003c\/p\u003e \u003cp\u003e4.2 Application of the Framework to Structured Securities 61\u003c\/p\u003e \u003cp\u003e4.3 Twist and Shift: Characterizing Changes in the Level, Steepness, and Curvature of the Term Structure 63\u003c\/p\u003e \u003cp\u003e4.4 Case Study: 4.00% 30-year MBS 65\u003c\/p\u003e \u003cp\u003e4.5 Scenario Comparative Analysis 74\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Fixed Income Return Analysis 77\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 Return Strategies 78\u003c\/p\u003e \u003cp\u003e5.2 The Components of Return 80\u003c\/p\u003e \u003cp\u003e5.3 The Buy and Hold Strategy 80\u003c\/p\u003e \u003cp\u003e5.4 Total and Absolute Returns 83\u003c\/p\u003e \u003cp\u003e5.5 Deconstructing the Fixed Income Return Profile 84\u003c\/p\u003e \u003cp\u003e5.6 Estimating Bond Returns with Price and Risk Measures 86\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart II Residential Mortgage Backed Securities 89\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 Understanding Mortgage Lending and Loans 91\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6.1 Classification of Real Estate 92\u003c\/p\u003e \u003cp\u003e6.2 Residential Mortgage Loan Amortization 100\u003c\/p\u003e \u003cp\u003e6.3 Deconstructing the Amortization Table 103\u003c\/p\u003e \u003cp\u003e6.4 Mortgage Servicing 104\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 Modeling Cash Flows 107\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7.1 Prepayment Conventions 108\u003c\/p\u003e \u003cp\u003e7.2 Modeling MBS Cash Flows 111\u003c\/p\u003e \u003cp\u003e7.2.1 0% PPC Assumption - No Prepayment 112\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 Mortgage Prepayment Analysis 117\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e8.1 Big Data - What is it? 118\u003c\/p\u003e \u003cp\u003e8.2 The Statistical Learner 118\u003c\/p\u003e \u003cp\u003e8.3 Survival Analysis 120\u003c\/p\u003e \u003cp\u003e8.4 The Cox Proportional Hazards Model 125\u003c\/p\u003e \u003cp\u003e8.5 Data Types 127\u003c\/p\u003e \u003cp\u003e8.6 Case Study: FHLMC 30-yr Loan Level Prepayment Analysis 128\u003c\/p\u003e \u003cp\u003e8.7 Survival Analysis - Modeling Loan Cohorts 139\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 The Predictive Prepayment Model 145\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e9.1 Turnover 147\u003c\/p\u003e \u003cp\u003e9.2 Loan Seasoning 147\u003c\/p\u003e \u003cp\u003e9.3 Seasonality 149\u003c\/p\u003e \u003cp\u003e9.4 Borrower Incentive to Refinance 150\u003c\/p\u003e \u003cp\u003e9.5 Borrower Burnout 153\u003c\/p\u003e \u003cp\u003e9.6 Application of the Prepayment Model 162\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart III Valuation of Mortgage Backed Securities 167\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10 Mortgage Dollar Roll 169\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e10.1 Evaluating the Dollar Roll 171\u003c\/p\u003e \u003cp\u003e10.2 Risk Associated with the Dollar Roll 179\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 11 Relative Value Analysis 183\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e11.1 Liquidity 184\u003c\/p\u003e \u003cp\u003e11.2 Static Cash Flow Analysis 185\u003c\/p\u003e \u003cp\u003e11.3 Return Analysis 189\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 12 Option Adjusted Spread Analysis 197\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e12.1 Numerical Methods of Modern Financial Theory 199\u003c\/p\u003e \u003cp\u003e12.2 Cox, Ingersoll, Ross Theory of the Term Structure 201\u003c\/p\u003e \u003cp\u003e12.3 Calibrating the Model 206\u003c\/p\u003e \u003cp\u003e12.4 Building the Option Adjusted Spread (OAS) Model 208\u003c\/p\u003e \u003cp\u003e12.5 OAS Analysis as a Decision Making Tool 216\u003c\/p\u003e \u003cp\u003e12.6 OAS Distribution Analysis 219\u003c\/p\u003e \u003cp\u003e12.7 OAS Analysis Strengths and Limitations 225\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart IV Structuring Mortgage Backed Securities 227\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 13 Introduction to REMICs 229\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e13.1 Background and Legal Structure 230\u003c\/p\u003e \u003cp\u003e13.2 Two Tiered REMICs 234\u003c\/p\u003e \u003cp\u003e13.3 REMIC Arbitrage 235\u003c\/p\u003e \u003cp\u003e13.4 Bond Lab MBS Structuring Model 237\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 14 Stripped Mortgage Backed Securities 239\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e14.1 Key Rate Duration Analysis 243\u003c\/p\u003e \u003cp\u003e14.2 Option Adjusted Spread Analysis 245\u003c\/p\u003e \u003cp\u003e14.3 The Information Content of the IO-PO Market 249\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 15 Sequentially Structured REMIC 255\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e15.1 Key Rate Duration Analysis 259\u003c\/p\u003e \u003cp\u003e15.2 Option Adjusted Spread Analysis 261\u003c\/p\u003e \u003cp\u003e15.3 Weighted Average Life and Spot Spread Analysis 261\u003c\/p\u003e \u003cp\u003e15.4 Static Cash Flow Analysis 266\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 16 Planned Amortization Class (PAC) and Companion REMICs 269\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e16.1 The PAC Bond Sinking Fund Schedule 270\u003c\/p\u003e \u003cp\u003e16.2 Key Rate Duration Analysis 277\u003c\/p\u003e \u003cp\u003e16.3 Option Adjusted Spread Analysis 279\u003c\/p\u003e \u003cp\u003e16.4 OAS Distribution Analysis 280\u003c\/p\u003e \u003cp\u003e16.5 A Final Word Regarding PAC Bands 284\u003c\/p\u003e \u003cp\u003e16.6 Static Cash Flow Analysis 285\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 17 Sequential IO REMIC 287\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e17.1 Key Rate Duration Analysis 290\u003c\/p\u003e \u003cp\u003e17.2 OAS Distribution Analysis 292\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 18 PAC-Floater-Inverse Floater REMIC 295\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e18.1 Structuring the Floater and Inverse Floater 296\u003c\/p\u003e \u003cp\u003e18.2 A Framework for Floating Rate Securities 301\u003c\/p\u003e \u003cp\u003e18.3 Option Adjusted Spread Analysis 304\u003c\/p\u003e \u003cp\u003e18.4 Key Rate Duration Analysis 304\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 19 Accrual REMIC Z-bond 311\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e19.1 Key Rate Duration Analysis 317\u003c\/p\u003e \u003cp\u003e19.2 Option Adjusted Spread Analysis 318\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart V Mortgage Credit Analysis 323\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 20 Mortgage Default Modeling 325\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e20.1 Case Study FHLMC 30-year Default Analysis 327\u003c\/p\u003e \u003cp\u003e20.2 Other Variables Influencing Borrower Default 335\u003c\/p\u003e \u003cp\u003e20.3 Spread at Origination (SATO) and Default 340\u003c\/p\u003e \u003cp\u003e20.4 Default Model Selection 340\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 21 The Predictive Default Model 345\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e21.1 Constant Default Rate 347\u003c\/p\u003e \u003cp\u003e21.2 Borrower Original Loan to Value Default Multiplier 348\u003c\/p\u003e \u003cp\u003e21.3 Updated Loan to Value Default Multiplier 349\u003c\/p\u003e \u003cp\u003e21.4 Spread at Origination (SATO) Default Multipliers 351\u003c\/p\u003e \u003cp\u003e21.5 Completing the Prepayment Model 353\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 22 The Basics of Private Label MBS 357\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e22.3 Y Structure 359\u003c\/p\u003e \u003cp\u003e22.4 Shifting Interest 362\u003c\/p\u003e \u003cp\u003e22.5 Deep Mortgage Insurance MI 363\u003c\/p\u003e \u003cp\u003e22.6 Excess Interest 365\u003c\/p\u003e \u003cp\u003e22.7 Overcollateralization 366\u003c\/p\u003e \u003cp\u003e22.8 Structural Credit Protection 366\u003c\/p\u003e \u003cp\u003e22.9 Hedging Asset\/Liability Mismatches 369\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 23 Sizing Mortgage Credit Enhancement 373\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e23.1 Simulating Borrower Default Rates 375\u003c\/p\u003e \u003cp\u003e23.2 Estimation of Cumulative Default Rates 375\u003c\/p\u003e \u003cp\u003e23.3 Translating Credit Enhancement to a Third Party Guarantee Fee 378\u003c\/p\u003e \u003cp\u003e23.4 Role of the Credit Rating Agencies (NRSROs) 379\u003c\/p\u003e \u003cp\u003eChapter 24 Index 383\u003c\/p\u003e\n\u003c\/li\u003e\n\u003c\/ul\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":49406952702295,"sku":"9781118944004","price":67.5,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9781118944004.jpg?v=1730497671","url":"https:\/\/bookcurl.com\/products\/investing-in-mortgagebacked-and-assetbacked-securities-website-9781118944004","provider":"Book Curl","version":"1.0","type":"link"}