Mortgage-Backed Securities / Frank J. Fabozzi Series (ePub)

Preface. About the Authors. PART ONE: Introduction to Mortgage and MBS Markets. Chapter 1: Overview of Mortgages and the Consumer Mortgage Market. Overview of Mortgages. Mortgage Loan Mechanics. Risks Associated with Mortgages and Mortgage Products. Chapter 2: Overview of the Mortgage-Backed Securities Market. Creating Different Types of MBS. MBS Trading. The Role of the MBS Markets in Generating Consumer Lending Rates. Cash Flow Structuring. PART TWO: Prepayment and Default Metrics and Behavior. Chapter 3: Measurement of Prepayments and Defaults. Prepayment Convention Terminology. Delinquency, Default, and Loss Terminology. Chapter 4: Prepayment Behavior and Performance. Prepayment Behavior. Drivers of Prepayment Activity. Additional Factors Affecting Prepayment Speeds. Prepayment Behavior of "Nonfixed-Payment" Products. Summary. PART THREE: Structuring. Chapter 5: Introduction to MBS Structuring Techniques. Underlying Logic in Structuring Cash Flows. Structuring Different Mortgage Products. Fundamentals of Structuring CMOs. Chapter 6: Fundamental MBS Structuring Techniques: Divisions of Principal. Time Tranching. Planned Amortization Classes (PACs) and the PAC/Support Structure. Targeted Amortization Class Bonds. Z-Bonds and Accretion-Directed Tranches. A Simple Structuring Example. Chapter 7: Fundamental MBS Structuring Techniques: Divisions of Interest. Coupon Stripping and Boosting. Floater/Inverse Floater Combinations. Two-Tiered Index Bonds (TTIBs). Excess Servicing IOs. Chapter 8: Structuring Private Label CMOs. Private Label Credit Enhancement. Private Label Senior Structuring Variations. Chapter 9: The Structuring of Mortgage ABS Deals. Fundamentals of ABS Structures. Credit Enhancement for Mortgage ABS Deals. Factors Influencing the Credit Structure of Deals. Additional Structuring Issues and Developments. PART FOUR: Valuation and Analysis. Chapter 10: Techniques for Valuing MBS. Static Cash Flow Yield Analysis. Zero-Volatility Spread. Valuation Using

Frank J. Fabozzi is Professor in the Practice of Finance in
the School of Management at Yale University. Prior to joining the
Yale faculty, he was a Visiting Professor of Finance in the Sloan
School at MIT. He is a Fellow of the International Center for
Finance at Yale University and on the Advisory Council for the
Department of Operations Research and Financial Engineering at
Princeton University. Professor Fabozzi is the editor of the
Journal of Portfolio Management and an associate editor of
the Journal of Fixed Income. He earned a doctorate in
economics from the City University of New York in 1972. In 2002 was
inducted into the Fixed Income Analysts Society's Hall of
Fame and is the 2007 recipient of the C. Stewart Sheppard Award
given by the CFA Institute. He earned the designation of Chartered
Financial Analyst and Certified Public Accountant. He has authored
and edited numerous books in finance.

Anand K. Bhattacharya is a Managing Director at
Countrywide Securities Corporation (CSC), a wholly owned affiliate
of Countrywide Financial Corporation. He joined CSC in 1999, where
he is responsible for the management of fixed income research and
strategies. Immediately prior to joining Countrywide, he was
Managing Director responsible for capital markets, risk management
and portfolio management oversight at Imperial Credit Industries
Inc (ICII) from March 1998 to January 1999. Prior to his employment
at ICII, Dr. Bhattacharya held positions at Prudential Securities
Inc. from 1990 to 1998 with the most recent position as Managing
Director, Global Head of Fixed Income Research. His prior
employment includes positions in fixed income research and product
management at Merrill Lynch Capital Markets, Franklin Savings
Association and its subsidiaries and Security Pacific Merchant
Bank. Dr. Bhattacharya has written extensively in various facets of
fixed income analysis and portfolio management. He has authored or
coauthored over 65

Dieses eBook können Sie uneingeschränkt auf allen Geräten der tolino Familie lesen. Zum Lesen auf sonstigen eReadern und am PC benötigen Sie eine Adobe ID.