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eBay-Artikelnr.:365727427259
Artikelmerkmale
- Artikelzustand
- ISBN-13
- 9780199998166
- Book Title
- Mortgage Valuation Models
- ISBN
- 9780199998166
Über dieses Produkt
Product Identifiers
Publisher
Oxford University Press, Incorporated
ISBN-10
0199998167
ISBN-13
9780199998166
eBay Product ID (ePID)
201603056
Product Key Features
Number of Pages
496 Pages
Language
English
Publication Name
Mortgage Valuation Models : Embedded Options, Risk, and Uncertainty
Subject
Investments & Securities / Real Estate, General
Publication Year
2014
Type
Textbook
Subject Area
Business & Economics
Series
Financial Management Association Survey and Synthesis Ser.
Format
Hardcover
Dimensions
Item Height
1.2 in
Item Weight
29.2 Oz
Item Length
9.3 in
Item Width
6.3 in
Additional Product Features
Intended Audience
Scholarly & Professional
LCCN
2013-034515
Dewey Edition
23
Reviews
"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 policy solutions to remedy deficiencies in the current market structures. Most of all, though, alongside its very rigorous treatment of the technical details of mortgage models, it provides frequent illustrations and guidance that will help readers to avoidhaving unrealistically high expectations of their mortgage models." --Mark Adelson, Chief Strategy Officer, BondFactor Company"This book is written by two top MBS experts who look at and far beyond the OAS relative value methodology. Davidson and Levin explain why mortgage instruments are valued at different OAS levels and how this is related to model risk and uncertainty. They demonstrate how to extend the idea of risk-neutral valuation to modeling both borrower prepayment behavior and default behavior, a major addition to the toolkit of MBS portfolio managers and traders. Thebook provides many important insights and analyzes the 2007-2009 crisis rigorously and quantitatively." --Frank J. Fabozzi, Professor of Finance, EDHEC Business School; Editor, The Journal of PortfolioManagement"This book is excellent. It combines a rigorous treatment of mortgage valuation models with a practical sense of what is important. It is easily comprehensible both to those familiar with the mortgage market and to those with reasonable quantitative backgrounds who are not. The chapters on the financial crises are particularly interesting, describing some of the trends that were overlooked in model calibration." --Laurie Goodman, Director, Housing FinancePolicy Center, Urban Institute"It is gratifying to see how prepayment modeling for mortgage-backed securities has evolved from statistical analysis of historical data to recognizing that refinancings are the result of rational option exercise by borrowers. Davidson and Levin do a commendable job of bringing us up to date, providing along the way an insightful perspective of the 2008-2009 mortgage crisis and the subsequent regulatory developments around housing finance." --Andrew Kalotay,President, Andrew Kalotay and Associates, Inc."Davidson and Levin offer their MBS valuation modeling framework as well as insights on the financial crisis and housing finance reform. As the housing market, mortgage industry and related governmental policies change, our MBS modeling needs evolve, too. This book places particular emphasis on modeling uncertainty during regime shifts. This intellectually stimulating book provides market participants with the tools to conceptualize these issues." --Jiawei"David" Zhang, Managing Director/Head of MBS Modeling, Credit Suisse, "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 policy solutions to remedy deficiencies in the current market structures. Most of all, though, alongside its very rigorous treatment of the technical details of mortgage models, it provides frequent illustrations and guidance that will help readers to avoid having unrealistically high expectations of their mortgage models." --Mark Adelson, Chief Strategy Officer, BondFactor Company "This book is written by two top MBS experts who look at and far beyond the OAS relative value methodology. Davidson and Levin explain why mortgage instruments are valued at different OAS levels and how this is related to model risk and uncertainty. They demonstrate how to extend the idea of risk-neutral valuation to modeling both borrower prepayment behavior and default behavior, a major addition to the toolkit of MBS portfolio managers and traders. The book provides many important insights and analyzes the 2007-2009 crisis rigorously and quantitatively." --Frank J. Fabozzi, Professor of Finance, EDHEC Business School; Editor, The Journal of Portfolio Management "This book is excellent. It combines a rigorous treatment of mortgage valuation models with a practical sense of what is important. It is easily comprehensible both to those familiar with the mortgage market and to those with reasonable quantitative backgrounds who are not. The chapters on the financial crises are particularly interesting, describing some of the trends that were overlooked in model calibration." --Laurie Goodman, Director, Housing Finance Policy Center, Urban Institute "It is gratifying to see how prepayment modeling for mortgage-backed securities has evolved from statistical analysis of historical data to recognizing that refinancings are the result of rational option exercise by borrowers. Davidson and Levin do a commendable job of bringing us up to date, providing along the way an insightful perspective of the 2008-2009 mortgage crisis and the subsequent regulatory developments around housing finance." --Andrew Kalotay, President, Andrew Kalotay and Associates, Inc. "Davidson and Levin offer their MBS valuation modeling framework as well as insights on the financial crisis and housing finance reform. As the housing market, mortgage industry and related governmental policies change, our MBS modeling needs evolve, too. This book places particular emphasis on modeling uncertainty during regime shifts. This intellectually stimulating book provides market participants with the tools to conceptualize these issues." --Jiawei "David" Zhang, Managing Director/Head of MBS Modeling, Credit Suisse
Illustrated
Yes
Dewey Decimal
332.63230973
Table Of Content
IntroductionPart 1 Fundamentals of MBS Risk and Valuation Chapter 1 Dimensions of UncertaintyChapter 2 Fundamentals of SecuritizationChapter 3 Investors in Mortgage-Backed SecuritiesChapter 4 Valuation with Risk Factors and Risk NeutralityChapter 5 Short-Rate Term-Structure ModelingChapter 6 Risk-Neutral Modeling Using Forward and Futures PricesPart 2 Modeling and Valuation of Agency MBSChapter 7 Agency Pool Prepayment ModelsChapter 8 Engineering of Valuation Models without SimulationsChapter 9 Monte Carlo MethodsChapter 10 Applications of the OAS Valuation Approach to Agency MBSChapter 11 Prepayment Risk Neutrality (the concept of prOAS) Part 3 Modeling and Valuation of Non-Agency MBSChapter 12 Loan Level Modeling of Prepayment and DefaultChapter 13 The Concept of Credit OASChapter 14 Empirical Modeling of Home PricesChapter 15 Credit Analysis on a Scenario Grid and Analytical ShortcutsPart 4 Analysis of the 2008-2009 Financial Crisis Chapter 16 Lesson #1: The Role of Financing and Affordability in the Formation of Housing PricesChapter 17 Lesson #2: The CDO Calamity and Six Degrees of SeparationChapter 18 Lesson #3: Fair versus Intrinsic Valuation under Market DuressPart 5 Building a Healthy Housing Finance SystemChapter 19 How to Measure Risk, Rank Deals and Set Aside CapitalChapter 20 How to Price New LoansChapter 21 The Future of Housing Finance and MBS Modeling References
Synopsis
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., Mortgage Backed Securities (MBS) are among the most complex of all financial instruments. Analysis of MBS requires blending empirical analysis of borrower behavior with mathematical modeling of interest rates and home prices. Over the past 25 years, Davidson and Levin have been at the leading edge of MBS valuation and risk analysis. Mortgage Valuation Models: Embedded Options, Risk and Uncertainty is a detailed description of the sophisticated theories and advanced methods that the authors employ in real-world analysis of mortgage backed securities. Issues such as complexity, borrower options, uncertainty, and model risk play a central role in their approach to valuation of MBS. The book describes methods for modeling prepayments and defaults of borrowers. It explores closed form, backward induction and Monte Carlo valuation using the Option-Adjusted-Spread (OAS) approach, explains the origin of OAS and its relationship to model uncertainty. 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. The coverage spans the range of mortgage products from loans, TBA (to be announced) pass-through securities to subordinate tranches of subprime-mortgage securitizations and describes valuation methods for both agency and non-agency MBS including pricing new loans; Davidson and Levin put forth new approaches to prudent risk measurement, ranking, and decomposition that can help guide traders and risk managers. It reveals quantitative causes of the 2007-09 financial crisis and provides insights into the future of the US housing finance system and mortgage modeling. Despite the advances in mortgage modeling and valuation, this remains an ever-evolving field. Mortgage Valuation Models will serve as a foundation for the future development of models for mortgage-backed securities., 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., 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 adetailed 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, andmodel 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 MBSincluding pricing new loans; approaches to prudent risk measurement, ranking, and decomposition; and methods for modeling prepayments and defaults of borrowers.The authors alsoreveal 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.
LC Classification Number
HG4655
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grandeagleretail
98,3% positive Bewertungen•2,8 Mio. Artikel verkauft
Angemeldet als gewerblicher Verkäufer
Verkäuferbewertungen (1.055.142)
- w***i (874)- Bewertung vom Käufer.Letzter MonatBestätigter KaufAbsolutely Wonderful Seller!! Terrific Item As Described!!! Great Service and Communication!! Shipped In Waterproof Packaging!! I Received Item In About One Week!! Very Pleased With Seller! I Will Buy From This Seller Again!!
- e***_ (17)- Bewertung vom Käufer.Letzte 6 MonateBestätigter KaufSeller handles a massive inventory so I give them grace on the slow processing and shipping. They were very communicative and prompt with their response when I messaged in asking about it. Book was in good condition as described. Small ding on the page edges which wasn't mentioned, but that's fairly common even at your typical book store. Still a good value and I'd buy from them again.
- 0***i (5)- Bewertung vom Käufer.Letzte 6 MonateBestätigter KaufThe first item arrived with some damage to the inside back cover, but the seller responded immediately, assuring me they’d provide a replacement, and even told me I could keep the original. They were upfront about a short delay, and gave a clear estimated ship date, and followed up right on time once it shipped. The replacement arrived in perfect condition and exactly as described. I really appreciated their transparency and professionalism. Would definitely buy from them again!