Investing in mortgage-backed and asset-backed securities: financial modeling with R and open source analytics + website

Description

"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"--;Front matter -- Part One: Valuation of Fixed-Income Securities. The Time Value of Money -- Theories of the Term Structure of Interest Rates -- Fixed-Income Metrics -- The Valuation of Fixed-Income Securities -- Fixed-Income Return Analysis -- Part Two: Residential Mortgage-Backed Securities. Understanding Mortgage Lending and Loans -- Modeling Cash Flows -- Mortgage Prepayment Analysis -- The Predictive Prepayment Model -- Part Three: Valuation of Mortgage-Backed Securities. Mortgage Dollar Roll -- Relative Value Analysis -- Option-Adjusted Spread Analysis -- Part Four: Structuring Mortgage-Backed Securities. Introduction to REMICs -- Stripped Mortgage-Backed Securities -- Sequentially Structured REMIC -- Planned Amortization Class (PAC) and Companion REMICs -- Sequential IO REMIC -- PAC-Floater-Inverse Floater REMIC -- Accrual REMIC -- Part Five: Mortgage Credit Analysis. Mortgage Default Modeling -- The Predictive Default Model -- The Basics of Private-Label MBS -- Sizing Mortgage Credit Enhancement.