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- Herausgeber: John Wiley & Sons
- Kategorie: Fachliteratur
- Serie: Wiley Finance Editions
- Sprache: Englisch
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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Seitenzahl: 469
Veröffentlichungsjahr: 2016
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Table of Contents
Series Page
Title Page
Copyright
Dedication
Foreword
Preface
Acknowledgments
Introduction
Part One: Valuation of Fixed-Income Securities
Chapter 1: The Time Value of Money
1.1 Present Value
1.2 Future Value
1.3 Present Value of an Annuity
1.4 Future Value of an Annuity
1.5 Solving Financial Questions with Present and Future Value
1.6 Application to Fixed-Income Securities
Chapter 2: Theories of the Term Structure of Interest Rates
2.1 The Rational or Pure Expectations Hypothesis
2.2 The Market Segmentation Theory
2.3 The Liquidity Preference Theory
2.4 Modeling the Term Structure of Interest Rates
2.5 Application of Spot and Forward Rates
Chapter 3: Fixed-Income Metrics
3.1 Maturity
3.2 Yield to Maturity
3.3 Weighted Average Life
3.4 Duration
3.5 Convexity
3.6 Fisher-Weil Duration and Convexity
3.7 Effective Duration
3.8 Effective Convexity
3.9 Summing the Aforementioned Measures of Duration and Convexity
3.10 Key Rate Duration
Chapter 4: The Valuation of Fixed-Income Securities
4.1 A Valuation Framework for Fixed-Income Securities
4.2 Application of the Framework to Structured Securities
4.3 Twist and Shift: Characterizing Changes in the Level, Steepness, and Curvature of the Term Structure
4.4 Case Study: 4.00% 30-Year MBS
4.5 Scenario Comparative Analysis
Chapter 5: Fixed-Income Return Analysis
5.1 Return Strategies
5.2 The Components of Return
5.3 The Buy-and-Hold Strategy
5.4 Total and Absolute Returns
5.5 Deconstructing the Fixed-Income Return Profile
5.6 Estimating Bond Returns with Price and Risk Measures
Part Two: Residential Mortgage-Backed Securities
Chapter 6: Understanding Mortgage Lending and Loans
6.1 Classification of Real Estate
6.2 Residential Mortgage Loan Amortization
6.3 Deconstructing the Amortization Table
6.4 Mortgage Servicing
Chapter 7: Modeling Cash Flows
7.1 Prepayment Conventions
7.2 Modeling MBS Cash Flows
Chapter 8: Mortgage Prepayment Analysis
8.1 Big Data—What Is It?
8.2 The Statistical Learner
8.3 Survival Analysis
8.4 The Cox Proportional Hazards Model
8.5 Data Types
8.6 Case Study: FHLMC 30-Year Loan Level Prepayment Analysis
8.7 Survival Analysis—Modeling Loan Cohorts
Chapter 9: The Predictive Prepayment Model
9.1 Turnover
9.2 Loan Seasoning
9.3 Seasonality
9.4 Borrower Incentive to Refinance
9.5 Borrower Burnout
9.6 Application of the Prepayment Model
Part Three: Valuation of Mortgage-Backed Securities
Chapter 10: Mortgage Dollar Roll
10.1 Evaluating the Dollar Roll
10.2 Risk Associated with the Dollar Roll
Chapter 11: Relative Value Analysis
11.1 Liquidity
11.2 Static Cash Flow Analysis
11.3 Return Analysis
Chapter 12: Option-Adjusted Spread Analysis
12.1 Numerical Methods of Modern Financial Theory
12.2 Cox, Ingersoll, Ross Theory of the Term Structure
12.3 Calibrating the Model
12.4 Building the Option-Adjusted Spread (OAS) Model
12.5 OAS Analysis as a Decision-Making Tool
12.6 OAS Distribution Analysis
12.7 OAS Analysis Strengths and Limitations
Part Four: Structuring Mortgage-Backed Securities
Chapter 13: Introduction to REMICs
13.1 Background and Legal Structure
13.2 Two-Tiered REMICs
13.3 REMIC Arbitrage
13.4 Bond Lab MBS Structuring Model
Chapter 14: Stripped Mortgage-Backed Securities
14.1 Key Rate Duration Analysis
14.2 Option-Adjusted Spread Analysis
14.3 The Information Content of the IO-PO Market
Chapter 15: Sequentially Structured REMIC
15.1 Key Rate Duration Analysis
15.2 Option-Adjusted Spread Analysis
15.3 Weighted Average Life and Spot Spread Analysis
15.4 Static Cash Flow Analysis
Chapter 16: Planned Amortization Class (PAC) and Companion REMICs
16.1 The PAC Bond Sinking Fund Schedule
16.2 Key Rate Duration Analysis
16.3 Option-Adjusted Spread Analysis
16.4 OAS Distribution Analysis
16.5 A Final Word Regarding PAC Bands
16.6 Static Cash Flow Analysis
Chapter 17: Sequential IO REMIC
17.1 Key Rate Duration Analysis
17.2 OAS Distribution Analysis
Chapter 18: PAC-Floater-Inverse Floater REMIC
18.1 Structuring the Floater and Inverse Floater
18.2 A Framework for Floating Rate Securities
18.3 Option-Adjusted Spread Analysis
18.4 Key Rate Duration Analysis
Chapter 19: Accrual REMIC Z-Bond
19.1 Key Rate Duration Analysis
19.2 Option-Adjusted Spread Analysis
Part Five: Mortgage Credit Analysis
Chapter 20: Mortgage Default Modeling
20.1 Case Study FHLMC 30-Year Default Analysis
20.2 Other Variables Influencing Borrower Default
20.3 Spread at Origination (SATO) and Default
20.4 Default Model Selection
Chapter 21: The Predictive Default Model
21.1 Constant Default Rate
21.2 Borrower Original Loan-to-Value Default Multiplier
21.3 Updated Loan-to-Value Default Multiplier
21.4 Spread at Origination (SATO) Default Multipliers
21.5 Completing the Prepayment Model
Chapter 22: The Basics of Private-Label MBS
22.1 I Structure
22.2 H Structure
22.3 Y Structure
22.4 Shifting Interest
22.5 Deep Mortgage Insurance
MI
22.6 Excess Interest
22.7 Overcollateralization
22.8 Structural Credit Protection
22.9 Hedging Asset/Liability Mismatches
Chapter 23: Sizing Mortgage Credit Enhancement
23.1 Simulating Borrower Default Rates
23.2 Estimation of Cumulative Default Rates
23.3 Translating Credit Enhancement to a Third-Party Guarantee Fee
23.4 Role of the Credit Rating Agencies (NRSROs)
About the Website
Introduction to BondLab
Source Code for the BondLab R Package
Installation Instructions
Bibliography
Index
End User License Agreement
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Guide
Cover
Table of Contents
Begin Reading
List of Illustrations
Chapter 1: The Time Value of Money
Figure 1.1 Present Value of a Single Payment
Figure 1.2 Future Value of a Single Sum Today
Figure 1.3 Present Value of Annuity Payment
Figure 1.4 Internal Rate of Return
Chapter 2: Theories of the Term Structure of Interest Rates
Figure 2.1 Interest Rate Swap Curve, Jan. 30, 2006
Figure 2.2 Forward and Spot Swap Rates, Jan. 30, 2006
Chapter 3: Fixed-Income Metrics
Figure 3.1 Price to Yield to Maturity
Figure 3.2 Coupon versus Duration
Figure 3.3 Maturity versus Duration
Figure 3.4 Convexity versus Duration
Figure 3.5 Hypothetical Spot and Forward Rate Curves
Figure 3.6 30-Year 4.0 MBS% Key Rate Duration
Chapter 4: The Valuation of Fixed-Income Securities
Figure 4.1 The Valuation Framework for Fixed-Income Securities
Figure 4.2 Yield Curve Steepens 50 Basis Points
Figure 4.3 Cash Flow Comparison—Swap Curve Steepens 50 Basis Points
Figure 4.4 Key Rate Duration—Swap Curve Steepens 50 Basis Points
Figure 4.5 Yield Curve Flattens 50 Basis Points
Figure 4.6 Cash Flow Comparison—Swap Curve Flattens 50 Basis Points
Figure 4.7 Key Rate Duration—Swap Curve Flattens 50 bps
Chapter 7: Modeling Cash Flows
Figure 7.1 PSA Mortgage Prepayment Assumption
Figure 7.2 Cash Flow Share Assuming 0% PPC
Figure 7.3 Pool Cash Flow Assuming 100% PPC
Chapter 8: Mortgage Prepayment Analysis
Figure 8.1 FH 30-yr. Cum. Survival
Figure 8.2 FH 30-yr. CPR
Figure 8.3 Distribution of Borrower Incentive
Figure 8.4
Loess Model
—Functional Form of Borrower Incentive
Figure 8.5
Actual Data
—CPR
Figure 8.6
Loess Data Fit
—CPR
Figure 8.7 Housing Turnover
Figure 8.8
Model Fit
—CPR
Figure 8.9
Actual Data
—CPR
Figure 8.10 Seasonal Factors
Figure 8.11 Loan Purpose
Figure 8.12
Test
—Refinance
Figure 8.13
Test
—Cash-out
Chapter 9: The Predictive Prepayment Model
Figure 9.1 Loan Seasoning
Figure 9.2 Model vs. Actual Seasonals
Figure 9.3 Slope
Figure 9.4 Inflection
Figure 9.5 ,
Figure 9.6 ,
Figure 9.7 S-curve by Loan Seasoning
Figure 9.8 S-curve Fast and Slow Payer
Figure 9.9 Burnout
Figure 9.10 Burnout
Figure 9.11 Loan Seasoning Multiplier
Figure 9.12 Seasonality Multiplier
Figure 9.13 S-curve Fast/Slow Payer
Figure 9.14 Burnout
Figure 9.15 Bond Lab® Mortgage Prepayment Model
Chapter 10: Mortgage Dollar Roll
Figure 10.1 Mechanics of the Mortgage Dollar Roll
Chapter 11: Relative Value Analysis
Figure 11.1 Forward Yield Curve
Figure 11.2 Return Analysis
Chapter 12: Option-Adjusted Spread Analysis
Figure 12.1 CIR Simulated Interest Rate Paths
Figure 12.2 CIR Model with = 0.1
Figure 12.3 CIR Model with = 0.7
Figure 12.4 CIR Model with = 0.02
Figure 12.5 CIR Model with = 0.10
Figure 12.6 CIR Model with = 0.015
Figure 12.7 CIR Model with = 0.00
Figure 12.8 CIR Model Fit: Actual Swap Prices less Fit Swap Prices
Figure 12.9 CIR Model—Single Path
Figure 12.10 CIR Model Yield Curve
Figure 12.11 CIR Model, Simulated Short-Term Rate, 2- and 10-Year Swap Rates
Figure 12.12 CIR Model, MBS 5.50 Predicted SMM Vector
Figure 12.13 Short Rate Paths = 125
Figure 12.14 Short Rate Paths = 250
Figure 12.15 Short Rate Paths = 500
Figure 12.16 Short Rate Paths = 5,000
Figure 12.17 The Valuation Framework for Fixed-Income Securities
Figure 12.18 Price Dist. MBS 4.00%
Figure 12.19 Price Dist. MBS 5.50%
Figure 12.20 ZV Spd. MBS 4.00%
Figure 12.21 ZV Spd. MBS 5.50%
Figure 12.22 WAL Dist. MBS 4.00%
Figure 12.23 WAL Dist. MBS 5.50%
Figure 12.24 YTM Dist. MBS 4.00%
Figure 12.25 YTM Dist. MBS 5.50%
Chapter 13: Introduction to REMICs
Figure 13.1 REMIC Execution
Chapter 14: Stripped Mortgage-Backed Securities
Figure 14.1 Key Rate Duration MBS 4.00% Pass-Through
Figure 14.2 Key Rate Duration MBS 4.00% Tranche 1 (IO)
Figure 14.3 Key Rate Duration MBS 4.00%
Figure 14.4 Key Rate Duration MBS 4.00% Tranche 2 (PO)
Figure 14.5 WAL Dist. MBS 4.00%
Figure 14.6 WAL Dist. Tranche 1 (IO)
Figure 14.7 WAL Dist. MBS 4.00%
Figure 14.8 WAL Dist. Tranche 2 (PO)
Figure 14.9 YTM Dist. MBS 4.00%
Figure 14.10 YTM Dist. Tranche 1 (IO)
Figure 14.11 YTM Dist. MBS 4.00%
Figure 14.12 YTM Dist. Tranche 2 (PO)
Figure 14.13 Price Dist. Tranche 1 (IO)
Figure 14.14 Price Dist. Tranche 2 (PO)
Chapter 15: Sequentially Structured REMIC
Figure 15.1 Sequential Principal Cash Flow Diagram
Figure 15.2 Key Rate Duration MBS 4.00%
Figure 15.3 Key Rate Duration Tranche A
Figure 15.4 Key Rate Duration Tranche B
Figure 15.5 Key Rate Duration Tranche C
Figure 15.6 WAL Dist. MBS 4.00%
Figure 15.7 WAL Dist. Tranche A
Figure 15.8 Tranche A—Spot Spread Distribution
Figure 15.9 WAL Dist. Tranche B
Figure 15.10 Spot Spd. Dist. Tranche B
Figure 15.11 WAL Dist. Tranche C
Figure 15.12 Spot Spd. Dist. Tranche C
Figure 15.13 Average Life Analysis
Chapter 16: Planned Amortization Class (PAC) and Companion REMICs
Figure 16.1 PAC Bond Schedule
Figure 16.2 PAC Bond Schedule
Figure 16.3 Broken PAC Bond Principal Repayment vs. Scheduled
Figure 16.4 Key Rate Duration MBS 4.00%
Figure 16.5 Key Rate Duration Tranche 1 (PAC)
Figure 16.6 KRD MBS 4.00%
Figure 16.7 KRD Tranche 2 (Comp.)
Figure 16.8 WAL Dist. MBS 4.00%
Figure 16.9 WAL Dist. PAC
Figure 16.10 Spot Spd. MBS 4.00%
Figure 16.11 Spot Spd. Dist. PAC
Figure 16.12 WAL Dist. MBS 4.00%
Figure 16.13 WAL Dist. Companion
Figure 16.14 Spot Spread MBS 4.00%
Figure 16.15 Spot Spread Dist. Comp.
Figure 16.16 Average Life Analysis
Chapter 17: Sequential IO REMIC
Figure 17.1 SMBS 4.00% Key Rate Duration
Figure 17.2 SEQ IO Key Rate Duration
Figure 17.3 SMBS 4.00% IO Price Dist
Figure 17.4 SEQ IO Price Dist.
Chapter 18: PAC-Floater-Inverse Floater REMIC
Figure 18.1 Interest Rate Cap Forward Curve Analysis
Figure 18.2 Key Rate Duration—Floating Rate Bond
Figure 18.3 Key Rate Duration—Inverse Floating Rate Bond
Chapter 19: Accrual REMIC Z-Bond
Figure 19.1 Comparison of Companion Bond Execution
Figure 19.2 Average Life Analysis
Figure 19.3 Z-Bond Key Rate Duration Analysis
Figure 19.4 MBS 4.00% Avg. Life Dist.
Figure 19.5 Z-bond Avg. Life Dist.
Figure 19.6 MBS 4.00% Spot Spd. Dist.
Figure 19.7 Z-bond Spot Spd. Dist.
Chapter 20: Mortgage Default Modeling
Figure 20.1 FH 30-yr. Cum. Survival
Figure 20.2 FH 30-yr. CDR
Figure 20.3 Default Freq. Orig. LTV
Figure 20.4 Default Freq. Updated LTV
Figure 20.5 Orig. LTV Odds Ratio
Figure 20.6 Updated LTV Odds Ratio
Figure 20.7 Orig. Loan-to-Value Odds Ratio
Figure 20.8 Change in Loan-to-Value Odds Ratio
Figure 20.9 Borrower Credit Score Odds Ratio
Figure 20.10 Borrower Debt to Income Odds Ratio
Figure 20.11 Borrower SATO Odds Ratio
Figure 20.12 Default Model Comparison
Figure 20.13 Default Model SATO Comparison
Chapter 21: The Predictive Default Model
Figure 21.1 Baseline Agency Default Assumption
Figure 21.2 Baseline Agency Default Assumption
Figure 21.3 Updated Loan-to-Value Ratio Default Multipliers
Figure 21.4 Borrower SATO Default Multipliers
Figure 21.5 Predicted Default 80% LTV and −0.50% SATO
Figure 21.6 Predicted Default 100% LTV and 1.25% SATO
Chapter 22: The Basics of Private-Label MBS
Figure 22.1 Prime MBS Credit Enhancement at Deal Inception
Figure 22.2 H Credit Enhancement Structure
Figure 22.3 Y Credit Enhancement Structure
Figure 22.4 Agency Mortgage Default Timing Curve
Figure 22.5 Hedging with an Interest Rate Cap
Figure 22.6 Hedging with an Interest Rate Cap
Chapter 23: Sizing Mortgage Credit Enhancement
Figure 23.1 Home Price Paths Short Rate = 0.25%
Figure 23.2 Home Price Paths Short Rate = 20.00%
Figure 23.3 Simulated Annualized Default Rate
Figure 23.4 Simulated Cumulative Default Rates
Figure 23.5 Prime Mortgage Cumulative Loss Distribution
Figure 23.6 Prime Mortgage Cumulative Density Loss Function
List of Tables
Chapter 2: Theories of the Term Structure of Interest Rates
Table 2.1 Spot Rate Curve (zero coupon yields)
Table 2.2 1-Year Forward Rate in 1 Year
Table 2.3 1-Year Forward Rate in 2 Years
Table 2.5 Nelson-Siegel Terms
Table 2.6 Calculation of Forward Rates
Chapter 3: Fixed-Income Metrics
Table 3.1 Estimated YTM
Table 3.2 Yield to Maturity
Table 3.3 Yield to Maturity, Sinking Fund Bond vs. Single Payment at Maturity
Table 3.4 Zero Coupon Bond Portfolio Weighted Average Life
Table 3.5 Weighted Average Life
Table 3.6 Macaulay Duration Calculation
Table 3.7 Calculation of Convexity
Table 3.8 Hypothetical Yield Curve
Table 3.9 Fisher-Weil Duration
Table 3.10 Fisher-Weil Convexity
Table 3.11 Parametric Comparison of Yield to Maturity vs. Spot Rate Curve Valuation
Table 3.12 Comparison of Duration and Convexity Measures
Table 3.13 Hypothetical Coupon and Spot Rate Curve
Chapter 4: The Valuation of Fixed-Income Securities
Table 4.1 MBS Base Case Parametric Analysis
Table 4.2 Base Case Yield Curve—Jan. 10, 2013
Table 4.3 Yield Curve Scenarios
Table 4.4 Effective Duration—Swap Curve Steepens 50 Basis Points
Table 4.5 MBS Steepen Parametric Analysis
Table 4.6 Effective Duration—Swap Curve Flattens 50 Basis Points
Table 4.7 MBS Flattening Parametric Analysis
Table 4.8 Comparative Analysis of Scenario Outcomes
Chapter 5: Fixed-Income Return Analysis
Table 5.1 Return Matrix Input—Coupon Income
Table 5.2 Return Matrix: Coupon Income plus Reinvestment
Table 5.3 Hypothetical Swap Rate Curve
Chapter 6: Understanding Mortgage Lending and Loans
Table 6.1 Economics of Foreclosure Liquidation
Table 6.2 Economics of Foreclosure Liquidation with PMI
Table 6.3 Net Operating Income
Table 6.4 Mortgage Amortization Table
Chapter 7: Modeling Cash Flows
Table 7.1 MBS Cash Flow Table
Chapter 8: Mortgage Prepayment Analysis
Table 8.1 Kaplan-Meier Survivorship
Table 8.2 Referent Cell Coding
Table 8.3 Cox Model—Incentive
Table 8.4 Cox Model—LoanAge, Incentive
Table 8.5 ANOVA—Incentive vs. LoanAge, Incentive
Table 8.6 ANOVA—Incentive, LoanAge vs. Incentive, LoanAge, Month
Table 8.7 ANOVA Loan Purpose
Table 8.8 Loan Purpose Coefficient Analysis
Table 8.9 Results of Model Stratification on Time
Chapter 9: The Predictive Prepayment Model
Table 9.1 Model Parameter
Table 9.2 Seasonals
Table 9.3 Fast, Slow Payer Tuning Parameters
Table 9.4 Burnout Tuning Parameters
Table 9.5 Refinance Analysis by Original Balance
Chapter 10: Mortgage Dollar Roll
Table 10.1 Breakven Drop Calculation
Table 10.2 Implied Cost of Funds
Table 10.3 Hold-versus-Roll Analysis
Chapter 11: Relative Value Analysis
Table 11.1 Bid-to-Offer Recovery Analysis
Table 11.2 Jan. 10, 2013, Swap Curve
Table 11.3 MBS 4.00% Cash-Flow Analysis
Table 11.4 MBS 5.50% Cash Flow Analysis
Chapter 12: Option-Adjusted Spread Analysis
Table 12.1 Option-Adjusted Spread Analysis
Table 12.2 Price Distribution Summary Statistics
Table 12.3 Spot Spread-Adjusted Spread Analysis
Chapter 14: Stripped Mortgage-Backed Securities
Table 14.1 REMIC IO-PO Analysis
Table 14.2 REMIC IO-PO OAS Analysis
Table 14.3 REMIC IO-PO OAS Analysis
Table 14.4 IO Prepayment Sentiment
Chapter 15: Sequentially Structured REMIC
Table 15.1 REMIC Sequential Analysis
Table 15.2 REMIC Sequential OAS Analysis
Chapter 16: Planned Amortization Class (PAC) and Companion REMICs
Table 16.1 PAC Bond Cash Flow Example
Table 16.2 REMIC PAC-Companion Analysis
Table 16.3 REMIC PAC-Companion OAS Analysis
Chapter 17: Sequential IO REMIC
Table 17.1 REMIC Sequential OAS Analysis
Table 17.2 REMIC Sequential OAS Analysis
Chapter 18: PAC-Floater-Inverse Floater REMIC
Table 18.1 REMIC PAC-PAC IO-Floater-Inverse Floater
Table 18.2 REMIC PAC-PAC IO-Floater-Inverse Floater OAS Analysis
Chapter 19: Accrual REMIC Z-Bond
Table 19.1 REMIC PAC-Companion-Z OAS Analysis
Chapter 20: Mortgage Default Modeling
Table 20.1 Logistic Default Model
Table 20.2 Logistic Default Model
Table 20.3 Confusion Matrix Model Comparison
Chapter 21: The Predictive Default Model
Table 21.1 OAS Analysis
Table 21.2 OAS Analysis
Chapter 22: The Basics of Private-Label MBS
Table 22.1 Available Funds Cap Calculation
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Investing in Mortgage-Backed and Asset-Backed Securities
Financial Modeling with R and Open Source Analytics + Website
GLENN M. SCHULTZ, CFA FOREWORD BY FRANK J. FABOZZI, PH.D., CFA
Copyright © 2016 by Glenn M. Schultz. All rights reserved.
Published by John Wiley & Sons, Inc., Hoboken, New Jersey.
Published simultaneously in Canada.
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Library of Congress Cataloging-in-Publication Data:
Names: Schultz, Glenn M., author.
Title: Investing in mortgage and asset backed securities, $+$ website :
financial modeling with r and open source analytics / Glenn M. Schultz ;
foreword by Frank J. Fabozzi.
Description: Hoboken : Wiley, 2016. | Series: Wiley finance | Includes
bibliographical references and index.
Identifiers: LCCN 2015035916 (print) | LCCN 2015047714 (ebook) |
ISBN 9781118944004 (hardback) | ISBN 9781119221531 (ePDF) |
ISBN 9781119221500 (ePub)
Subjects: LCSH: Mortgage-backed securities. | Securities. | Investments. |
BISAC: BUSINESS & ECONOMICS / Investments & Securities.
Classification: LCC HG4655 .S387 2016 (print) | LCC HG4655 (ebook) | DDC
332.63/244—dc23
LC record available at http://lccn.loc.gov/2015035916
Cover Design: Wiley
Cover Image: © Max Krasnov/Shutterstock
To Missi and Blake
Foreword
Glenn's 20+ years of experience in structured finance is reflected in this book. Portfolio management, MBS investment banking and structuring, and loan level prepayment modeling are among his expertise. Glenn contributed to The Handbook of Fixed-Income Securities, several editions of The Handbook of Mortgage-Backed Securities, and The Handbook of Nonagency Mortgage-Backed Securities. In 2003, he was honored for his structuring expertise with the IDD/ASR award for the Most Innovative ABS Transaction of the Year.
Glenn's broad experience highlights that investing in mortgage-backed securities requires a multidisciplinary approach including securities law, structuring techniques, and the modeling of econometric data and consumer behavior, both of which fall under the rubric of big data analysis. Furthermore, the proliferation of data and the analysis thereof have brought the concept of reproducible research to the forefront. Ultimately, research or experiments that can be reproduced are more reliable than those which cannot be reproduced. Reproducing the research of others is not only a checking process but it also provides a jump-point for future exploration. Investing in Mortgage-Backed and Asset-Backed Securities was written in the spirit of reproducible research and introduces Bond Lab, the first object-oriented and open source software that Glenn created for the analysis of mortgage- and asset-backed securities.
Bond Lab is programmed in R, the statistical computing language of choice, and allows the reader to replicate the analysis presented herein, view the code that created the results, and extend the analysis in any direction one chooses. Furthermore, the commercial acceptance of R on cloud computing platforms offers the investor a promise of unlimited scalability. By harnessing the power of R and open source computing, Bond Lab charts the course for the investor to create a custom technology stack meeting and expressing one's unique view with respect to the mortgage-backed securities market, thereby creating true alpha.
Frank J. Fabozzi, Ph.D, CFAProfessor of Finance, EDHEC Business SchoolandEditor, Journal of Portfolio Management
Preface
It is not the critic who counts;…The credit belongs to the man who is actually in the arena,…who spends himself in a worthy cause; who at the best knows in the end the triumph of high achievement, and who at the worst, if he fails, at least fails while daring greatly, so that his place shall never be with those cold and timid souls who neither know victory nor defeat.
Lesen Sie weiter in der vollständigen Ausgabe!
Lesen Sie weiter in der vollständigen Ausgabe!
Lesen Sie weiter in der vollständigen Ausgabe!
Lesen Sie weiter in der vollständigen Ausgabe!
Lesen Sie weiter in der vollständigen Ausgabe!
Lesen Sie weiter in der vollständigen Ausgabe!
Lesen Sie weiter in der vollständigen Ausgabe!
Lesen Sie weiter in der vollständigen Ausgabe!
Lesen Sie weiter in der vollständigen Ausgabe!
Lesen Sie weiter in der vollständigen Ausgabe!
Lesen Sie weiter in der vollständigen Ausgabe!
Lesen Sie weiter in der vollständigen Ausgabe!
Lesen Sie weiter in der vollständigen Ausgabe!
Lesen Sie weiter in der vollständigen Ausgabe!
Lesen Sie weiter in der vollständigen Ausgabe!
Lesen Sie weiter in der vollständigen Ausgabe!
Lesen Sie weiter in der vollständigen Ausgabe!
Lesen Sie weiter in der vollständigen Ausgabe!
Lesen Sie weiter in der vollständigen Ausgabe!
Lesen Sie weiter in der vollständigen Ausgabe!
Lesen Sie weiter in der vollständigen Ausgabe!
Lesen Sie weiter in der vollständigen Ausgabe!
Lesen Sie weiter in der vollständigen Ausgabe!
Lesen Sie weiter in der vollständigen Ausgabe!
Lesen Sie weiter in der vollständigen Ausgabe!
Lesen Sie weiter in der vollständigen Ausgabe!
Lesen Sie weiter in der vollständigen Ausgabe!
Lesen Sie weiter in der vollständigen Ausgabe!
Lesen Sie weiter in der vollständigen Ausgabe!
Lesen Sie weiter in der vollständigen Ausgabe!
Lesen Sie weiter in der vollständigen Ausgabe!
Lesen Sie weiter in der vollständigen Ausgabe!
Lesen Sie weiter in der vollständigen Ausgabe!
Lesen Sie weiter in der vollständigen Ausgabe!
