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Author(s): |
Glenn M. Schultz, Frank J. Fabozzi
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Collection: |
1
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Publisher: | Wiley
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Year: | 2016
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Langue: |
English |
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Pages: |
416 pages |
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Size: | 11.44 MB
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PDF
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[content title="Summary"]
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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[content title="Content"] [/content]
[content title="Author(s)"]Glenn Schultz has over 25 year of securitization experience. He has worked on the research and securtization teams of Banc One Capital Markets, LLC, JP Morgan, Wachovia and Well Fargo Securities, LLC. His primary expertise is the securitization of Mortgage and Consumer Asset Backed Securities. While at Banc One, Glenn co-headed the residential ABS securitization business where he was awarded the 2003 IDD/ASR most innovative ABS transaction of the year. He served as the Head of Consumer ABS and Mortgage Research for Wells Fargo Securities where he led the Consumer ABS research team to a top 5 institutional investor all star ranking and a top 5 non-agency prepayment strategy ranking. Glenn is the founder of Bond Lab Technologies, Inc. His philosophy is straightforward, mortgage and asset backed securities are not too difficult to understand - once you master their complexities. In fact, all the data and models needed to successfully manage a portfolio of mortgage and asset backed securities are freely available via open source data and computing. Since 2013 Glenn has worked on developing Bond Lab an open source program for the analysis and management of mortgage and asset backed securities.
The analytic and valuation models presented in Investing in Mortgage Backed and Asset Backed Securities Using R and Open Source Analytics were performed using Bond Lab and open source mortgage performance data provided by FNMA, FHLMC, and GNMA.
The version of Bond Lab used to write the book is available on the Wiley site. The most recent version of Bond Lab is available on its github site https://github.com/glennmschultz/BondLab. please note that I am in process of refactoring the structuring tool to make the payment rules "human readable" and readers cannot replicate the structure securities examples in the book with the github version.[/content]
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