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Mortgage valuation models : embedded options, risk, and uncertainty

Author: Andrew S Davidson
Publisher: Oxford : Oxford University Press, [2014]
Series: Financial Management Association survey and synthesis series
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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.
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Davidson, Andrew S.
Mortgage valuation models.
(DLC) 2013034515
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Andrew S Davidson
ISBN: 9780199363698 0199363692 9780199363681 0199363684
OCLC Number: 890508202
Description: 1 online resource.
Contents: Introduction ; Part 1 Fundamentals of MBS Risk and Valuation ; Chapter 1 Dimensions of Uncertainty ; Chapter 2 Fundamentals of Securitization ; Chapter 3 Investors in Mortgage-Backed Securities ; Chapter 4 Valuation with Risk Factors and Risk Neutrality ; Chapter 5 Short-Rate Term-Structure Modeling ; Chapter 6 Risk-Neutral Modeling Using Forward and Futures Prices ; Part 2 Modeling and Valuation of Agency MBS ; Chapter 7 Agency Pool Prepayment Models ; Chapter 8 Engineering of Valuation Models without Simulations ; Chapter 9 Monte Carlo Methods ; Chapter 10 Applications of the OAS Valuation Approach to Agency MBS ; Chapter 11 Prepayment Risk Neutrality (the concept of prOAS) ; Part 3 Modeling and Valuation of Non-Agency MBS ; Chapter 12 Loan Level Modeling of Prepayment and Default ; Chapter 13 The Concept of Credit OAS ; Chapter 14 Empirical Modeling of Home Prices ; Chapter 15 Credit Analysis on a Scenario Grid and Analytical Shortcuts ; Part 4 Analysis of the 2008-2009 Financial Crisis ; Chapter 16 Lesson #1: The Role of Financing and Affordability in the Formation of Housing Prices ; Chapter 17 Lesson #2: The CDO Calamity and Six Degrees of Separation ; Chapter 18 Lesson #3: Fair versus Intrinsic Valuation under Market Duress ; Part 5 Building a Healthy Housing Finance System ; Chapter 19 How to Measure Risk, Rank Deals and Set Aside Capital ; Chapter 20 How to Price New Loans ; Chapter 21 The Future of Housing Finance and MBS Modeling ; References
Series Title: Financial Management Association survey and synthesis series
Responsibility: Andrew Davidson, Alex Levin.

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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  Read more...

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Mortgage Valuation Models delivers much more than its title suggests. It explores the key aspects of the mortgage market that ultimately were a trigger of the financial crisis. It offers potential Read more...

 
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