Download or read book Mortgage Valuation Models written by Andrew S. Davidson and published by Oxford University Press, USA. This book was released on 2014 with total page 465 pages. Available in PDF, EPUB and Kindle. Book excerpt: Valuation of mortgage-backed securities requires blending empirical analysis of borrower behavior and mathematical modeling of interest rates and home prices, with recognition of various prices of risk and uncertainty. This book offers a detailed description of the sophisticated theories and advanced methods used for the real-world valuation of MBS.

Download or read book Mortgage Valuation Models written by Andrew S. Davidson and published by . This book was released on 2014 with total page 453 pages. Available in PDF, EPUB and Kindle. Book excerpt: Valuation of mortgage-backed securities (MBS) requires blending empirical analysis of borrower behaviour and mathematical modelling of interest rates and home prices, with recognition of various prices of risk and uncertainty. This book offers a detailed description of the sophisticated theories and advanced methods used for the real-world valuation of MBS.

Download or read book Investing in Mortgage Backed and Asset Backed Securities written by Glenn M. Schultz and published by John Wiley & Sons. This book was released on 2016-01-19 with total page 437 pages. Available in PDF, EPUB and Kindle. Book excerpt: A complete guide to investing in and managing a portfolio of mortgage- and asset-backed securities Mortgage- and asset-backed securities are not as complex as they might seem. In fact, all of the information, financial models, and software needed to successfully invest in and manage a portfolio of these securities are available to the investment professional through open source software. Investing in Mortgage and Asset-Backed Securities + Website shows you how to achieve this goal. The book draws entirely on publicly available data and open source software to construct a complete analytic framework for investing in these securities. The analytic models used throughout the book either exist in the quantlib library, as an R package, or are programmed in R and incorporated into the analytic framework used. Examines the valuation of fixed-income securities—metrics, valuation framework, and return analysis Covers residential mortgage-backed securities—security cash flow, mortgage dollar roll, adjustable rate mortgages, and private label MBS Discusses prepayment modeling and the valuation of mortgage credit Presents mortgage-backed securities valuation techniques—pass-through valuation and interest rate models Engaging and informative, this book skillfully shows you how to build, rather than buy, models and proprietary analytical platforms that will allow you to invest in mortgage- and asset-backed securities.

Download or read book A Fixed Rate Mortgage Valuation Model in Three State Variables written by Andrew Lehman Brunson and published by . This book was released on 1996 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Mortgage Default and Mortgage Valuation written by John Krainer and published by DIANE Publishing. This book was released on 2010-10 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: The authors develop an equilibrium valuation model that incorporates optimal default to show how mortgage yields and lender recovery rates on defaulted mortgages depend on initial loan-to-value (LTV) ratios. The analysis treats both the frictionless case and the case in which borrowers and lenders incur deadweight costs upon default. The model is calibrated using data on California mortgages. Given reasonable parameter values, the model does a surprisingly good job fitting the risk premium in the data for high LTV mortgages. Thus, from an ex ante perspective, the authors do not find strong evidence of systematic underpricing of default risk in the run-up to the housing market crisis. Charts and tables.

Download or read book Mortgage Valuation Models written by Andrew Davidson and published by Oxford University Press. This book was released on 2014-05-22 with total page 465 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mortgage-backed securities (MBS) are among the most complex of all financial instruments. Analysis of MBS requires blending empirical analysis of borrower behavior with the mathematical modeling of interest rates and home prices. Over the past 25 years, Andrew Davidson and Alexander Levin have been at the leading edge of MBS valuation and risk analysis. Mortgage Valuation Models: Embedded Options, Risk, and Uncertainty contains a detailed description of the sophisticated theories and advanced methods that the authors employ in real-world analyses of mortgage-backed securities. Issues such as complexity, borrower options, uncertainty, and model risk play a central role in the authors' approach to the valuation of MBS. The coverage spans the range of mortgage products from loans and TBA (to-be-announced) pass-through securities to subordinate tranches of subprime-mortgage securitizations. 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. It describes valuation methods for both agency and non-agency MBS including pricing new loans; approaches to prudent risk measurement, ranking, and decomposition; and methods for modeling prepayments and defaults of borrowers. The authors also reveal quantitative causes of the 2007-09 financial crisis and provide insight into the future of the U.S. housing finance system and mortgage modeling as this field continues to evolve. This book will serve as a foundation for the future development of models for mortgage-backed securities.

Download or read book Advances in Automated Valuation Modeling written by Maurizio d'Amato and published by Springer. This book was released on 2017-01-28 with total page 435 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book addresses several problems related to automated valuation methodologies (AVM). Following the non-agency mortgage crisis, it offers a variety of approaches to improve the efficiency and quality of an automated valuation methodology (AVM) dealing with emerging problems and different contexts. Spatial issue, evolution of AVM standards, multilevel models, fuzzy and rough set applications and quantitative methods to define comparables are just some of the topics discussed.

Download or read book An Empirical Test of a Two factor Mortgage Valuation Model written by Chris Downing and published by . This book was released on 2003 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mortgage-backed securities, with their relative structural simplicity and their lack of recovery rate uncertainty if default occurs, are particularly suitable for developing and testing risky debt valuation models. In this paper, we develop a two-factor structural mortgage pricing model in which rational mortgage-holders endogenously choose when to prepay and default subject to i. explicit frictions (transaction costs) payable when terminating their mortgages, ii. exogenous background terminations, and iii. a credit-related impact of the loan-to-value ratio (LTV) on prepayment. We estimate the model using pool-level mortgage termination data for Freddie Mac Participation Certificates, and find that the effect of the house price factor on the results is both statistically and economically significant. Out-of-sample estimates of MBS prices produce option adjusted spreads of between 5 and 25 basis points, well within quoted values for these securities.

Download or read book A Complete Valuation Model for Mortgage backed Securities written by Byron Douglas Carson and published by . This book was released on 1994 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Empirical Tests of Models for Valuation of Pass through Mortgage backed Securities written by Rand Dennis Martin and published by . This book was released on 1994 with total page 454 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Interest Rate Term Structure and Valuation Modeling written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2002-11-29 with total page 530 pages. Available in PDF, EPUB and Kindle. Book excerpt: This ultimate guide contains an excellent blend of theory and practice This comprehensive guide covers various aspects of model building for fixed income securities and derivatives. Filled with expert advice, valuable insights, and advanced modeling techniques, Interest Rate, Term Structure, and Valuation Modeling is a book that all institutional investors, portfolio managers, and risk professionals should have. John Wiley & Sons, Inc. is proud to be the publisher of the esteemed Frank J. Fabozzi Series. Comprising nearly 100 titles-which include numerous bestsellers—The Frank J. Fabozzi Series is a key resource for finance professionals and academics, strategists and students, and investors. The series is overseen by its eponymous editor, whose expert instruction and presentation of new ideas have been at the forefront of financial publishing for over twenty years. His successful career has provided him with the knowledge, insight, and advice that has led to this comprehensive series. Frank J. Fabozzi, PhD, CFA, CPA, is Editor of the Journal of Portfolio Management, which is read by thousands of institutional investors, as well as editor or author of over 100 books on finance for the professional and academic markets. Currently, Dr. Fabozzi is an adjunct Professor of Finance at Yale University's School of Management and on the board of directors of the Guardian Life family of funds and the Black Rock complex of funds.

Download or read book Mortgage Valuation Under Reduced Form Model written by and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Handbook of Mortgage Backed Securities 7th Edition written by Frank J. Fabozzi and published by Oxford University Press. This book was released on 2016-08-11 with total page 831 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edition of The Handbook of Mortgage-Backed Securities, the first revision following the subprime mortgage crisis, is designed to provide not only the fundamentals of these securities and the investment characteristics that make them attractive to a broad range of investors, but also extensive coverage on the state-of-the-art strategies for capitalizing on the opportunities in this market. The book is intended for both the individual investor and the professional manager. The volume includes contributions from a wide range of experts most of whom have been actively involved in the evolution of the mortgage-backed securities market.

Download or read book A Continuous Time Model for the Valuation of Mortgage Backed Securities written by Stephen M. Mansour and published by . This book was released on 2012 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: A mortgage model consists of three basic parts: the amortization model which examines the mortgage cash flows, the interest rate model which affects the mortgage price, and the prepayment model which measures the rates of mortgage termination when a property is sold, refinanced or foreclosed. A technique known as eigenfunction expansion has proven to be useful in pricing continuous-time mortgages.

Download or read book Rational Mortgage Valuation Using Optimal Refinancing Strategies and Heterogeneous Borrowers written by John Patrick Harding and published by . This book was released on 1994 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Mortgage backed Securities Workbook written by Andrew S. Davidson and published by . This book was released on 1996 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Modelling of Mortgage Prepayment and the Valuation of Mortgage backed Securities written by Yanli Cheng and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: While option-theoretic models are widely used in valuation of other fixed-income instruments, their applications for the valuation of mortgage-backed securities face challenges. Mortgages are explicitly written with a call option, which allows mortgagors to prepay their mortgages any time before the maturity. The magnitude and timing of exercising the prepayment options are not purely driven by economic factors, but also the mortgagor's individual preferences and personal behaviours. This brings difficulties to valuing mortgage-backed securities with conventional models. In this thesis we aim to explore the prepayment risk caused uncertainties in valuation of mortgage-backed securities. We start with empirically examining an option-theoretic model proposed by Kalotay, Yang and Fabozzi (2004). This model has special features to treat borrower heterogeneity and suboptimal exercises of the prepayment options. Based on the empirical results, we propose to employ linear prepayment functions to model borrower heterogeneity. The new MBS valuation model with the integration of linear prepayment functions is also tested with empirical data. Our results suggest that mortgages with different coupon rates have different refinancing tendencies even towards the same market rate change. Therefore, assuming the same refinancing pattern to all classes of mortgages may lead to errors in pricing mortgages and MBSs. For mortgages with coupon rate below the prevailing refinancing rate (as proxied by the 30 year libor rate) plus the refinancing cost, a prepayment function with a low initial prepayment rate and a high slope will model the prepayments best. On the other hand, for mortgages with coupon rate above the current refinancing rate plus the refinancing cost, a prepayment function with a high initial prepayment and a mild slope will perform best. Meanwhile, refinancing burnout is also an important factor in modelling mortgage prepayment. Our results suggest that when the underlying mortgages are seasoned mortgages, especially when the prepayment option has been deep-in-the-money for a long time, the low initial prepayment high slope function will model their prepayments the best. Once these different refinancing tendencies are factored in the modelling of mortgage prepayment, the accuracy of the MBS valuation model is greatly improved.