Schultz Investing in Mortgage-Backed and Asset-Backed Securities

Financial Modeling with R and Open Source Analytics
1. Auflage 2016
ISBN: 978-1-119-22150-0
Verlag: John Wiley & Sons
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 416 Seiten, E-Book

Reihe: Wiley Finance Editions

A complete guide to investing in and managing a portfolio ofmortgage- and asset-backed securities
Mortgage- and asset-backed securities are not as complex as theymight seem. In fact, all of the information, financial models, andsoftware needed to successfully invest in and manage a portfolio ofthese securities are available to the investment professionalthrough open source software. Investing in Mortgage andAsset-Backed Securities + Website shows you how to achieve thisgoal.
The book draws entirely on publicly available data and opensource software to construct a complete analytic framework forinvesting in these securities. The analytic models used throughoutthe book either exist in the quantlib library, as an R package, orare programmed in R and incorporated into the analytic frameworkused.
* Examines the valuation of fixed-incomesecurities--metrics, valuation framework, and returnanalysis
* Covers residential mortgage-backed securities--securitycash flow, mortgage dollar roll, adjustable rate mortgages, andprivate label MBS
* Discusses prepayment modeling and the valuation of mortgagecredit
* Presents mortgage-backed securities valuationtechniques--pass-through valuation and interest ratemodels
Engaging and informative, this book skillfully shows you how tobuild, rather than buy, models and proprietary analytical platformsthat will allow you to invest in mortgage- and asset-backedsecurities.

Autoren/Hrsg.

Schultz, Glenn M.

Weitere Mitwirkende

Fabozzi, Frank J.

Über Autor(innen)

GLENN M. SCHULTZ is the Director of mortgage analytics for Performance Trust Capital Partners. He co-edited (with Frank Fabozzi) Structured Products and Related Credit Derivatives (Wiley), as well as authored several chapters in the Handbook of MBS Securities and The Handbook of Fixed Income Securities.