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
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