Mortgage Valuation Models:Embedded Options, Risk, and Uncertainty

图书简介

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.

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Harvard Library

Yale University Library

Princeton University Library

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

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Mortgage Valuation Models:Embedded Options, Risk, and Uncertainty（Financial Management Association Survey and Synthesis Series） 抵押估价模型-内嵌期权、风险与不确定性 货币银行学

Mortgage Valuation Models:Embedded Options, Risk, and Uncertainty（Financial Management Association Survey and Synthesis Series）

抵押估价模型-内嵌期权、风险与不确定性
货币银行学