Managing MBS Portfolios

Erscheinungsjahr 1998
ISBN: 978-1-883249-38-0
Verlag: Wiley

Buch, Englisch, 232 Seiten, Format (B × H): 185 mm x 238 mm, Gewicht: 440 g

Managing a portfolio of mortgage-backed securities requires an understanding of the unique risk/return characteristics of these securities-and the use of specific tools for constructing a portfolio to satisfy investment objectives. Managing MBS Portfolios explores mortgage-backed securities and describes the wide range of agency and non-agency MBS available, while providing the analytical tools necessary to effectively manage portfolios. With Managing MBS Portfolios you can finally start enhancing returns on your portfolio and safely control risk at the same time.

Autoren/Hrsg.

Fabozzi, Frank J.

Yuen, David

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft

Inhaltsverzeichnis

1. Introduction.

2. Mortgage Loans.

3. Passthroughs, Mortgage Strips, and Callable Passthroughs.

4. Agency Collateralized Mortgage Obligations.

5. Credit-Sensitive Mortgage-Backed Securities.

6. Prepayment Analysis.

7. Collateral Analysis of Derivative Mortgage Products.

8. Structure Analysis for Derivative Mortgage Products.

9. Leveraging MBS Portfolios: Repos, Dollar Rolls, and Mortgage Swaps.

10. Measuring the Interest Rate Risk of a Mortgage-Backed Security.

11. OAS Analysis Using Monte Carlo Simulation.

12. Component Analysis of Complex Derivative Mortgage Products.

13. Total Return Analysis and Portfolio Construction/Optimization.

Index.

Über Autor(innen)

Frank J. Fabozzi is editor of the Journal of Portfolio Management and an Adjunct Professor of Finance at Yale University's School of Management. Frank is a Chartered Financial Analyst and Certified Public Accountant. He is on the board of directors of the Guardian Life family of funds and the BlackRock complex of funds. He earned a doctorate of economics from the City University of New York in 1972 and in 1994 received an honorary doctorate of Human Letters from Nova Southeastern University. Frank is a Fellow of the International Center for Finance at Yale University.