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Advances in the Valuation and Management of Mortgage-Backed Securities
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Advances in the Valuation and Management of Mortgage-Backed Securities Hardcover - 1999 - 1st Edition

by Frank J. Fabozzi


First line

While demand from the various factions of the investor base affects MBS spreads, the investment actions of the agencies, namely Federal National Mortgage Association (FNMA) and Federal Home Loan Mortgage Corporation (FHLMC), are now the single largest determinants of MBS spreads with respect to the investment community.

From the rear cover

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.

Details

  • Title Advances in the Valuation and Management of Mortgage-Backed Securities
  • Author Frank J. Fabozzi
  • Binding Hardcover
  • Edition number 1st
  • Edition 1
  • Pages 317
  • Language ENG
  • Publisher Wiley, New Hope, Pa.
  • Date January 1999
  • ISBN 9781883249526

About the author

Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and Adjunct Professor of Finance at Yale University's School of Management.
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