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Advances in the Valuation and Management of Mortgage-Backed Securities

Frank J. Fabozzi

Copyright: 1998

Advances in the Valuation and Management of Mortgage-Backed Securities details the latest developments for valuing mortgage-backed securities and measuring and controlling the interest rate risk of these securities. Complete coverage includes: decomposition of mortgage spreads, MBS index replication strategies and market neutral strategies, Monte Carlo/OAS methodology, valuation of inverse floaters and ARMs, relative value analysis, and hedging mortgage instruments against level risk and yield curve risk.

Table of Contents

Contributing Authors.

1. Decomposition of Mortgage Spreads (A. Bhattacharya and I. Koren).

2. Replicating the MBS Index Risk and Return Characteristics Using Proxy Portfolios (A. Majidi).

3. Market Neutral Trading Strategies (G. Hall).

4. Total Return Analysis in CMO Portfolio Management (D. Canuel and C. Melchreit).

5. Non-Traded Factors in MBS Portfolio Management (A. Levin and D. Daras).

6. Valuation of CMOs (F. Fabozzi, et al.).

7. Valuation and Portfolio Risk Management with Mortgage-Backed Securities (S. Zenios).

8. The Valuation of PAC Bonds Without Complex Models (C. Asness and M. Smirlock).

9. A Portfolio Manager's Perspective of Inverses and Inverse IOs (W. Leach).

10. Forward Rates and CMO Portfolio Management (C. Asness and J. Beinner).

11. A New Approach to Option-Adjusted Valuation of MBS on a Multi-Scenario Grid (A. Levin).

12. Arbitrage-Free MBS Canonical Decomposition (T. Ho and M. Chen).

13. A Practical Guide to Relative Value for Mortgages (W. Phoa).

14. Hedging Mortgage Passthrough Securities (K. Dunn and R. Sella).

15. An Integrated Approach to Mortgage Hedging and Relative Value Analysis (L. Goodman and J. Ho).

16. Yield Curve Risk of CMO Bonds (M. Schumacher, et al.).

17. Valuation and Analysis of ARMs (S. Mansukhani).

18. Understanding and Valuing Callable REMICs (B. Lancaster, et al.).

Index.

340 pages