Investing in Mortgage-Backed and Asset-Backed Securities
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 analysisCovers residential mortgage-backed securities security cash flow, mortgage dollar roll, adjustable rate mortgages, and private label MBSDiscusses prepayment modeling and the valuation of mortgage creditPresents 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.