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.
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GLENN M. SCHULTZ is the Director of mortgage analytics for Performance Trust Capital Partners. He co-edited (with Frank Fabozzi) Structured Products and Related Credit Derivatives (Wiley), as well as authored several chapters in the Handbook of MBS Securities and The Handbook of Fixed Income Securities.
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