Download or read book The Valuation and Analysis of Adjustable Rate Mortgages written by and published by . This book was released on 1988 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Housing Finance Review written by and published by . This book was released on 1983 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Federal National Mortgage Association in a Changing Economic Environment written by United States. General Accounting Office and published by . This book was released on 1985 with total page 258 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 Adjustable Rate Mortgages written by Jonathan Berk and published by . This book was released on 1987 with total page 42 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 Alternative Mortgage Instruments Research Study written by United States. Federal Home Loan Bank Board and published by . This book was released on 1977 with total page 568 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Contingent Claims Valuation and Simulation Analysis of Standard Fixed Payment and Variable Rate Mortgage Loans written by Chung-Sik Chang and published by . This book was released on 1981 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Adjustable and Fixed Rate Mortgage Termination Option Values and Local Market Conditions written by James Vanderhoff and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the probabilities of prepayment or default for Fixed Rate Mortgages (FRMs) and Adjustable Rate Mortgages (ARMs). Using data from the period 1985-1992, the analysis indicates that the likelihood of prepayment of thirty year FRMs was determined primarily by house price appreciation and personal income growth and the likelihood of prepayment of fifteen year FRMs determined primarily by interest rate changes. ARMs were prepaid less frequently than FRMs, were less likely to be prepaid when interest rates declined and defaulted more often than FRMs. The analysis provides evidence that ARM holders are less mobile than FRM holders.
Download or read book Analysis of Adjustable rate Mortgages written by Joseph Hu and published by . This book was released on 1984 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Adjustable Rate Mortgage Pricing written by David Peter Rubinstein and published by . This book was released on 1990 with total page 730 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Housing Finance Review written by and published by . This book was released on 1989 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mortgage Financing written by Thomas J. McCool and published by DIANE Publishing. This book was released on 2001 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt: According to HUD, the economic value of the Mutual Mortgage Insur. Fund grew by about $5 billion in 1999, reaching its highest level in 20 years. This report: estimates the value of the Fund at the end of FY'99, given expected econ. conditions, & compares this est. to the est. of the value of the Fund reported by HUD; determines the extent to which a 2% capital ratio (CR) would allow the Fund to withstand worse-than-expected loan performance due to economic & other factors; & describes options for adjusting the size of the Fund if the estimated CR is different than the amt. needed, & describes the impact that these options might have on the FUND, FHA mortgagors, & the Fed. budget. Tables.
Download or read book Financial Markets and Financial Crises written by R. Glenn Hubbard and published by University of Chicago Press. This book was released on 1991-08-13 with total page 420 pages. Available in PDF, EPUB and Kindle. Book excerpt: Warnings of the threat of an impending financial crisis are not new, but do we really know what constitutes an actual episode of crisis and how, once begun, it can be prevented from escalating into a full-blown economic collapse? Using both historical and contemporary episodes of breakdowns in financial trade, contributors to this volume draw insights from theory and empirical data, from the experience of closed and open economies worldwide, and from detailed case studies. They explore the susceptibility of American corporations to economic downturns; the origins of banking panics; and the behavior of financial markets during periods of crisis. Sever papers specifically address the current thrift crisis—including a detailed analysis of the over 500 FSLIC-insured thrifts in the southeast—and seriously challenge the value of recent measures aimed at preventing future collapse in that industry. Government economists and policy makers, scholars of industry and banking, and many in the business community will find these timely papers an invaluable reference.
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 Mortgage Securities Research written by Scott F. Richard and published by . This book was released on 1990 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
