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Investing in Mortgage-Backed and Asset-Backed Securities : Financial Modeling with R and Open Source Analytics
by Glenn M. Schultz and Frank J. Fabozzi


Overview - 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.  Read more...


 
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More About Investing in Mortgage-Backed and Asset-Backed Securities by Glenn M. Schultz; Frank J. Fabozzi
 
 
 
Overview
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 analysis
  • Covers residential mortgage-backed securities—security cash flow, mortgage dollar roll, adjustable rate mortgages, and private label MBS
  • Discusses prepayment modeling and the valuation of mortgage credit
  • Presents 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.



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    Details
    • ISBN: 9781119221500
    • Publisher: Wiley
    • Date: Jan 2016
     
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