Mortgage Valuation Models

Embedded Options, Risk, and Uncertainty

Autor: Alexander Levin, Andrew S. Davidson

Limbă:

Legare: Copertă tare

Editura: Oxford University Press Inc

Disponibilitate: În depozitul extern

Expediem în 10-18 zile

713.76 lei

Mortgage Backed Securities (MBS) are among the most complex of all financial instruments. Analysis...

Informații despre carte

Autor

Alexander Levin, Andrew S. Davidson

Limbă

engleză

Legare

Carte - Copertă tare

Publicat

2014

Pagini

464

EAN

9780199998166

ISBN

0199998167

Enbook ID

04537244

Editura

Oxford University Press Inc

Greutate

794

Dimensiuni

168 x 239 x 29

Descriere completă

Mortgage Backed Securities (MBS) are among the most complex of all financial instruments. Analysis of MBS requires blending empirical analysis of borrower behavior with mathematical modeling of interest rates and home prices. Over the past 25 years, Davidson and Levin have been at the leading edge of MBS valuation and risk analysis. Mortgage Valuation Models: Embedded Options, Risk and Uncertainty is a detailed description of the sophisticated theories and advanced methods that the authors employ in real-world analysis of mortgage backed securities. Issues such as complexity, borrower options, uncertainty, and model risk play a central role in their approach to valuation of MBS. The book describes methods for modeling prepayments and defaults of borrowers. It explores closed form, backward induction and Monte Carlo valuation using the Option-Adjusted-Spread (OAS) approach, explains the origin of OAS and its relationship to model uncertainty. With reference to the classical CAPM and APT, the book advocates extending the concept of risk-neutrality to modeling home prices and borrower options, well beyond interest rates. The coverage spans the range of mortgage products from loans, TBA (to be announced) pass-through securities to subordinate tranches of subprime-mortgage securitizations and describes valuation methods for both agency and non-agency MBS including pricing new loans; Davidson and Levin put forth new approaches to prudent risk measurement, ranking, and decomposition that can help guide traders and risk managers. It reveals quantitative causes of the 2007-09 financial crisis and provides insights into the future of the US housing finance system and mortgage modeling. Despite the advances in mortgage modeling and valuation, this remains an ever-evolving field. Mortgage Valuation Models will serve as a foundation for the future development of models for mortgage-backed securities.

S-ar putea să te intereseze

Clienții care au cumpărat această carte au mai cumpărat și

Cele mai căutate

Categories

Authors

Publishers

Produse

Produse

Cele mai căutate

Categories

Authors

Publishers

Produse

Produse

Mortgage Valuation Models

Embedded Options, Risk, and Uncertainty

Informații despre carte

Descriere completă

S-ar putea să te intereseze

Clienții care au cumpărat această carte au mai cumpărat și