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The Handbook of Mortgage-Backed Securities – 7th Edition | Oxford Scholarship Online
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The Handbook of Mortgage-Backed Securities: 7th Edition

Frank J. Fabozzi

Abstract

This text has been revised following the subprime mortgage crisis, and is designed to provide not only the fundamentals of these securities and the investment characteristics that make them attractive to a broad range of investors, but also extensive coverage on the state-of-the-art strategies for capitalizing on the opportunities in this market. The book includes contributions from a wide range of experts, most of whom have been actively involved in the evolution of the mortgage-backed securities market.

Keywords: subprime mortgage crisis, securities, investment, investors, opportunities, mortgage-backed securities market

Bibliographic Information

Print publication date: 2016 Print ISBN-13: 9780198785774
Published to Oxford Scholarship Online: October 2016 DOI:10.1093/acprof:oso/9780198785774.001.0001

Authors

Affiliations are at time of print publication.

Frank J. Fabozzi, editor
Professor of Finance, EDHEC Business School

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Contents

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Part I Background

Chapter 1 Mortgage Loans to Mortgage-Backed Securities

Bill Berliner, Adam Quinones, and Anand Bhattacharya

Chapter 4 New Regulations for Securitizations and Asset-Backed Securities

Sharon Brown-Hruska, Georgi Tsvetkov, and Trevor Wagener

Chapter 5 Impact of the Credit Crisis on Mortgage-Backed Securities

Andrew S. Carron, Anne Gron, and Thomas Schopflocher

Part II Agency RMBS:Basic Products

Chapter 6 Agency Mortgage Passthrough Securities

Frank J. Fabozzi, Glenn Schultz, and Linda Lowell

Chapter 7 Hybrid ARMs

Bill Berliner, Anand Bhattacharya, and Steve Banerjee

Chapter 8 Customized Mortgage-Backed Securities

Anand Bhattacharya, Bill Berliner, and Steve Banerjee

Chapter 11 Agency Mortgage-Backed Securities

Ion Dan and Philip O. Obazee

Part III Agency RMBS: Multi-Class

Chapter 13 Agency Planned Amortization Class Bonds

William Irving, Frank J. Fabozzi, and Linda Lowell

Chapter 14 Accrual Bonds/Z Bonds

Linda Lowell, Glenn Schultz, and Frank J. Fabozzi

Chapter 15 Support Bonds with Schedules

Glenn Schultz, Linda Lowell, and Frank J. Fabozzi

Chapter 16 Floating-Rate Mortgage Securities

Airat Chanyshev, Erin Mchugh, and Esther Bruegger

Chapter 17 Inverse Floating-Rate CMOs

Cyrus Mohebbi, Raymond Yu, Marc Barakat, and Paula Steisel Goldfarb

Chapter 18 Stripped Mortgage-Backed Securities

Cyrus Mohebbi, Raymond Yu, Ardeshir Shahmaei, and Paula Steisel Goldfarb

Part IV Private-Label MBS

Chapter 20 Credit Enhancement

Frank J. Fabozzi and Bill Berliner

Chapter 21 Introduction to Covered Bonds

Thomas Schopflocher and Jordan Milev

Part V Commercial Mortgage-Backed Securities

Chapter 23 CMBS Collateral Performance

Philip O. Obazee and Duane C. Hewlett

Part VI Valuation and Prepayment Modeling

Chapter 24 Valuation of Mortgage-Backed Securities

Rajashri (Priya) Joshi, Tom Davis, and Bill Mccoy

Chapter 26 Contemporary Challenges in Loan-Level Prepayment Modeling

Steve Banerjee, Anand Bhattacharya, and Bill Berliner

Chapter 28 Residential Mortgage Defaults, Foreclosures, and Modifications

Faten Sabry, Ignacio Franceschelli, and Drew Claxton

Part VII Portfolio Management Tools and Techniques

Chapter 29 Managing against the Barclays MBS Index

Eric M. Wang and Bruce D. Phelps

Chapter 30 MBS Index Replication with TBAs

Nikki Stefanelli and Bruce D. Phelps

Chapter 32 Hedging Agency Mortgage-Related Securities

Brett R. Dunn, Kenneth B. Dunn, Frank J. Fabozzi, and Roberto Sella

Chapter 33 Dollar Rolls

Bill Berliner and Anand Bhattacharya

Chapter 34 Credit Derivatives and Mortgage-Backed Securities

Chudozie Okongwu, Timothy McKenna, Oksana Kitaychik, and Giulio Renzi-Ricci

End Matter