Mortgage- and asset-backed securities are not as complex as theymight seem. In fact, all of the information, financial models, andsoftware needed to successfully invest in and manage a portfolio ofthese securities are available to the investment professionalthrough open source software. Investing in Mortgage andAsset-Backed Securities + Website shows you how to achieve thisgoal.
The book draws entirely on publicly available data and opensource software to construct a complete analytic framework forinvesting in these securities. The analytic models used throughoutthe book either exist in the quantlib library, as an R package, orare programmed in R and incorporated into the analytic frameworkused.
- Examines the valuation of fixed-incomesecurities—metrics, valuation framework, and returnanalysis
- Covers residential mortgage-backed securities—securitycash flow, mortgage dollar roll, adjustable rate mortgages, andprivate label MBS
- Discusses prepayment modeling and the valuation of mortgagecredit
- Presents mortgage-backed securities valuationtechniques—pass-through valuation and interest ratemodels
Engaging and informative, this book skillfully shows you how tobuild, rather than buy, models and proprietary analytical platformsthat will allow you to invest in mortgage- and asset-backedsecurities.