Download or read book The Monte Carlo Approach to the Valuation of Mortgage backed Securities written by Fuchun Cai and published by . This book was released on 1990 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Valuation of Mortgage Backed Securities Using the Quasi Monte Carlo Method written by Russel E. Caflisch and published by . This book was released on 1996 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mortgage Backed Securities written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2010-12-30 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: An in-depth look at the latest innovations in mortgage-backed securities The largest sector of the fixed-income market is the mortgage market. Understanding this market is critical for portfolio managers, as well as issuers who must be familiar with how these securities are structured. Mortgage-Backed Securities is a timely guide to the investment characteristics, creation, and analysis of residential real estate-backed securities. Each chapter contains cutting-edge information for investors, traders, and other professionals involved in this market, including discussions of structuring mortgage products-such as agency CMOs and new types of mortgages-and an in-depth explanation of the concept of option-adjusted spreads and other analytical concepts used to assess relative value.
Download or read book Convergence Studies on Monte Carlo Methods for Pricing Mortgage Backed Securities written by Tao Pang and published by . This book was released on 2016 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monte Carlo methods are widely-used simulation tools for market practitioners from trading to risk management. When pricing complex instruments, like mortgage-backed securities (MBS), strong path-dependency and high dimensionality make the Monte Carlo method the most suitable, if not the only, numerical method. In practice, while simulation processes in option-adjusted valuation can be relatively easy to implement, it is a well-known challenge that the convergence and the desired accuracy can only be achieved at the cost of lengthy computational times. In this paper, we study the convergence of Monte Carlo methods in calculating the option-adjusted spread (OAS), effective duration (DUR) and effective convexity (CNVX) of MBS instruments. We further define two new concepts, absolute convergence and relative convergence, and show that while the convergence of OAS requires thousands of simulation paths (absolute convergence), only hundreds of paths may be needed to obtain the desired accuracy for effective duration and effective convexity (relative convergence). These results suggest that practitioners can reduce the computational time substantially without sacrificing simulation accuracy.
Download or read book Prepayment and the Valuation of Mortgage Backed Securities written by Eduardo S. Schwartz and published by . This book was released on 1988 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Valuation of Mortgage backed Securities in a Distributed Environment microform written by Vladimir Surkov and published by National Library of Canada = Bibliothèque nationale du Canada. This book was released on 2004 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: Valuation of Mortgage-Backed Securities, regarded as integration in high-dimensional space, can be readily performed using the Monte Carlo method. The Quasi-Monte Carlo method, by utilizing low-discrepancy sequences, has been able to achieve better convergence rates at computational finance problems despite analysis suggesting that the improved convergence comes into effect only at sample sizes growing exponentially with dimension. This may be attributed to the fact that the integrands are of low effective dimension and quasi-random sequences' good equidistribution properties in low dimensions allow for the faster convergence rates to be attained at feasible sample sizes. The Brownian bridge discretization is traditionally used to reduce the effective dimension although an alternate choice of discretization can produce superior results. This paper examines the standard Brownian bridge representation and offers a reparametrization to further reduce dimension. The performance is compared both in terms of improvement in convergence and reduced effective dimensionality as computed using ANOVA decomposition. Also, porting of the valuation algorithm to a distributed environment using Microsoft .NET is presented.
Download or read book A Monte Carlo Pricing Model for Commercial Mortgage backed Securities written by George James Pappadopoulos and published by . This book was released on 1995 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mortgage backed Securities written by Andrew S. Davidson and published by Irwin Professional Publishing. This book was released on 1994 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 the Valuation and Management of Mortgage Backed Securities written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 1999-01-15 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Efficient Value at Risk Estimation for Mortgage Backed Securities written by Chulwoo Han and published by . This book was released on 2014 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop an efficient Monte Carlo simulation-based methodology for value at risk (VaR) and sensitivity analysis of mortgage-backed securities (MBS) that employs an importance sampling technique developed for quadratic VaR models. Our approach, whose validity is derived from a fundamental result in perturbation analysis, is applicable to any analytic interest rate and prepayment model, and more generally to any path-dependent cashflows that admit analytic gradients. We compare the accuracy and computational performance of our VaR estimators with those obtained via finite-difference gradient approximation schemes.
Download or read book Pricing Mortgage backed Securities Using Prepayment written by and published by . This book was released on 2003 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mortgage Backed Securities written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2010-12-30 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: An in-depth look at the latest innovations in mortgage-backed securities The largest sector of the fixed-income market is the mortgage market. Understanding this market is critical for portfolio managers, as well as issuers who must be familiar with how these securities are structured. Mortgage-Backed Securities is a timely guide to the investment characteristics, creation, and analysis of residential real estate-backed securities. Each chapter contains cutting-edge information for investors, traders, and other professionals involved in this market, including discussions of structuring mortgage products-such as agency CMOs and new types of mortgages-and an in-depth explanation of the concept of option-adjusted spreads and other analytical concepts used to assess relative value.
Download or read book A Comparison of Quasi Monte Carlo Techniques for Pricing Mortgage backed Securities written by Searle Silverman and published by . This book was released on 2004 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Risk Management in Volatile Financial Markets written by Franco Bruni and published by Springer Science & Business Media. This book was released on 1996-04-30 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: intense competition on banks and other financial institutions, as a period of oligopoly ends: more rather than less innovation is needed to help share undi versifiable risks, with more attention to correlations between different risks. Charles Goodhart of the London School of Economics (LSE), while ques tioning the idea that volatility has increased, concludes that structural changes have made regulation more problematic and calls for improved information availability on derivatives transactions. In a thirteen country case study of the bond market turbulence of 1994, Bo rio and McCauley of the BIS pin the primary causes of the market decline on the market's own dynamics rather than on variations in market participants' apprehensions about economic fundamentals. Colm Kearney of the Univer sity of Western Sydney, after a six country study of volatility in economic and financial variables, concludes that more international collaboration in man aging financial volatility (other than in foreign exchange markets) is needed in Europe. Finally, Stokman and Vlaar of the Dutch central bank investigate the empirical evidence for the interaction between volatility and international transactions in real and financial assets for the Netherlands, concluding that such influence depends on the chosen volatility measure. The authors sug gest that there are no strong arguments for international restrictions to reduce volatility. INSTITUTIONAL ISSUES AND PRACTICES The six papers in Part C focus on what market participants are doing to manage risk.
Download or read book Introduction to Mortgages and Mortgage Backed Securities written by Richard K. Green and published by Academic Press. This book was released on 2013-11-21 with total page 249 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Introduction to Mortgages & Mortgage Backed Securities, author Richard Green combines current practices in real estate capital markets with financial theory so readers can make intelligent business decisions. After a behavioral economics chapter on the nature of real estate decisions, he explores mortgage products, processes, derivatives, and international practices. By focusing on debt, his book presents a different view of the mortgage market than is commonly available, and his primer on fixed-income tools and concepts ensures that readers understand the rich content he covers. Including commercial and residential real estate, this book explains how the markets work, why they collapsed in 2008, and what countries are doing to protect themselves from future bubbles. Green's expertise illuminates both the fundamentals of mortgage analysis and the international paradigms of products, models, and regulatory environments. Written for buyers of real estate, not mortgage lenders Balances theory with increasingly complex practices of commercial and residential mortgage lending Emphasizes international practices, changes caused by the 2008-11 financial crisis, and the behavioral aspects of mortgage decision making
Download or read book The Handbook of Mortgage backed Securities written by Frank J. Fabozzi and published by Oxford University Press. This book was released on 2016 with total page 831 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edition, revised since the subprime mortgage crisis, is designed to provide not only the fundamentals of mortgage-backed securities and the investment characteristics that make them attractive to a broad range of investors, but also extensive coverage of state-of-the-art strategies for capitalizing on the opportunities in this market.
