Mortgage valuation models: embedded options, risk, and uncertainty
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| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Oxford [u.a.]
Oxford Univ. Press
2014
|
| Series: | Financial Management Association survey and synthesis series
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Includes bibliographical references and index |
| Physical Description: | X, 453 S. Ill., graph. Darst. |
Staff View
MARC
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Record in the Search Index
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| adam_text | CONTENTS
Introduction vii
PART ONE Fundamentals of Mortgage-Backed Securities
Risk and Valuation
1. Dimensions ofUncertainty 3
2. Fundamentals of Securitization 22
3. Investors in Mortgage-Backed Securities 39
4. Valuation with Risk Factors and Risk Neutrality 54
5. Short-Rate Term-Structure Modeling 76
6. Risk-Neutral Modeling Using Forward and Futures Prices 106
PART TWO Modeling and Valuation of Agency Mortgage-Backed
Securities
7. Agency Pool Prepayment Models 121
8. Engineering of Valuation Models without Simulations 145
9. Monte Carlo Methods 174
10. Applications of the Option-Adjusted Spread Valuation
Approach to Agency Mortgage-Backed Securities 198
11. Prepayment Risk Neutrality: The Concept of prOAS 221
PART THREE Modeling and Valuation of Non-Agency
Mortgage-Backed Securities
12. Loan Level Modeling of Prepayment and Default 247
13. The Concept of Credit Option-Adjusted Spread 267
14. Empirical Modeling of Home Prices 289
15. Credit Analysis on a Scenario Grid and Analytical Shortcuts 318
vi
Contents
PART FOUR Analysis of the 2008-2009 Financial Crisis
16. Lesson # I: The Role of Financing and Affordability
in the Formation of Housing Prices 339
17. Lesson #2: The Collateralized Debt Obligation Calamity
and Six Degrees of Separation 361
18. Lesson #3: Fair versus Intrinsic Valuation under Market Duress 381
PART FIVE Building a Healthy Housing Finance System
19. How to Measure Risk, Rank Deals, and Set Aside Capital 395
20. How to Price New Loans 415
21. The Future of Housing Finance and Mortgage-Based Securities
Modeling 427
References 435
Index 441
|
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| discipline | Mathematik Wirtschaftswissenschaften |
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| id | DE-604.BV041978795 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T01:09:46Z |
| institution | BVB |
| language | English |
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| physical | X, 453 S. Ill., graph. Darst. |
| publishDate | 2014 |
| publishDateSearch | 2014 |
| publishDateSort | 2014 |
| publisher | Oxford Univ. Press |
| record_format | marc |
| series2 | Financial Management Association survey and synthesis series |
| spelling | Davidson, Andrew S. 1959- Verfasser (DE-588)172699029 aut Mortgage valuation models embedded options, risk, and uncertainty Andrew Davidson and Alexander Levin Oxford [u.a.] Oxford Univ. Press 2014 X, 453 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Financial Management Association survey and synthesis series Includes bibliographical references and index Mortgage-backed securities Mortgage-backed securities / Valuation / United States Mortgage-Backed Security (DE-588)4593741-2 gnd rswk-swf USA Mortgage-Backed Security (DE-588)4593741-2 s DE-604 Levin, Alexander Verfasser (DE-588)171783972 aut Digitalisierung UB Bamberg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027421298&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Davidson, Andrew S. 1959- Levin, Alexander Mortgage valuation models embedded options, risk, and uncertainty Mortgage-backed securities Mortgage-backed securities / Valuation / United States Mortgage-Backed Security (DE-588)4593741-2 gnd |
| subject_GND | (DE-588)4593741-2 |
| title | Mortgage valuation models embedded options, risk, and uncertainty |
| title_auth | Mortgage valuation models embedded options, risk, and uncertainty |
| title_exact_search | Mortgage valuation models embedded options, risk, and uncertainty |
| title_full | Mortgage valuation models embedded options, risk, and uncertainty Andrew Davidson and Alexander Levin |
| title_fullStr | Mortgage valuation models embedded options, risk, and uncertainty Andrew Davidson and Alexander Levin |
| title_full_unstemmed | Mortgage valuation models embedded options, risk, and uncertainty Andrew Davidson and Alexander Levin |
| title_short | Mortgage valuation models |
| title_sort | mortgage valuation models embedded options risk and uncertainty |
| title_sub | embedded options, risk, and uncertainty |
| topic | Mortgage-backed securities Mortgage-backed securities / Valuation / United States Mortgage-Backed Security (DE-588)4593741-2 gnd |
| topic_facet | Mortgage-backed securities Mortgage-backed securities / Valuation / United States Mortgage-Backed Security USA |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027421298&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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