Mortgage Valuation Models: Embedded Options, Risk, and Uncertainty (Financial Management Association Survey and Synthesis)
| Author | : | |
| Rating | : | 4.45 (905 Votes) |
| Asin | : | 0199998167 |
| Format Type | : | paperback |
| Number of Pages | : | 464 Pages |
| Publish Date | : | 2017-08-18 |
| Language | : | English |
DESCRIPTION:
Issues such as complexity, borrower options, uncertainty, and model risk play a central role in the authors' approach to the valuation of MBS. This book will serve as a foundation for the future development of models for mortgage-backed securities.. Analysis of MBS requires blending empirical analysis of borrower behavior with the mathematical modeling of interest rates and home prices. 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. 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. Mortgage-backed securities (MBS) are among the most complex of all financial instruments. 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. Over
He has worked extensively on mortgage-backed securities product development, valuation, and hedging. He is president of Andrew Davidson & Co., Inc., a New York firm specializing in the application of analytical tools to investment management, which he founded in 1992. His recent work focuses on the valuation of instruments exposed to credit risk, home-price modeling, and projects related to the MBS crisis. Andrew Davidson is a financial innovator and leader in the developmen
Four Stars Guiai Peng good. Fresh and Innovative Matthew Maclean This is an outstanding book for financial professionals, students and any individuals interested in MBS. While it is not a book for beginners, Andrew Davidson and Alex Levin have drawn on their collective experience and produced a book that is simultaneously innovative and instructive. It's clear that in addition to their strong basis of knowledge, a great deal of thought and original ideas went in to this book. Anyone who wants to move past the boilerplate, basic credit research to find something fresh should read this book. It's the future of mortgage v. Great book covering a wide range of relevant topics Great book covering a wide range of relevant topics, ranging from interest rate models to an analysis of the financial crisis. It can do it thanks to the author's ability to distill the relevant factors in each topic. It pushes the envelope beyond OAS, with a sober analysis of model failures in the crisis. Everybody with an interest in mortgages can find something useful here
This book places particular emphasis on modeling uncertainty during regime shifts. It combines a rigorous treatment of mortgage valuation models with a practical sense of what is important. 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 . It offers potential policy solutions to remedy deficiencies in the current market structures. Davidson and Levin explain why mortgage instruments are valued at different OAS levels and how this is related to model risk and uncertainty. The chapters on the financial crises are