Investing in mortgage and asset backed securities, + website: financial modeling with r and open source analytics
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Hoboken
Wiley
[2016]
|
| Schriftenreihe: | Wiley finance series
|
| Schlagworte: | |
| Online-Zugang: | Cover image Inhaltsverzeichnis Inhaltsverzeichnis |
| Beschreibung: | Includes bibliographical references and index |
| Beschreibung: | xxvi, 390 Seiten |
| ISBN: | 9781118944004 9781119221531 9781119221500 |
Internformat
MARC
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| 245 | 1 | 0 | |a Investing in mortgage and asset backed securities, + website |b financial modeling with r and open source analytics |c Glenn M. Schultz, CFA ; foreword by Frank J. Fabozzi, Ph.D, CFA |
| 264 | 1 | |a Hoboken |b Wiley |c [2016] | |
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Datensatz im Suchindex
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| adam_text | INVESTING IN MORTGAGE AND ASSET BACKED SECURITIES, + WEBSITE
/ / / / / / / SCHULTZ, GLENN M. [AUTHOR]
: : : : : : : 2016
TABLE OF CONTENTS / INHALTSVERZEICHNIS
^^ - DEFAULT MULTIPLIER 348 21.3 UPDATED LOAN TO VALUE DEFAULT
MULTIPLIER 349 21.4 SPREAD AT ORIGINATION (SATO) DEFAULT MULTIPLIERS 351
21.5 COMPLETING THE PREPAYMENT MODEL 353 CHAPTER 22 THE BASICS OF
PRIVATE LABEL MBS 357 22.3 Y STRUCTURE 359 22.4 SHIFTING INTEREST 362
22.5 DEEP MORTGAGE INSURANCE MI 363 22.6 EXCESS INTEREST 365 22.7
OVERCOLLATERALIZATION 366 22.8 STRUCTURAL CREDIT PROTECTION 366 22.9
HEDGING ASSET/LIABILITY MISMATCHES 369 CHAPTER 23 SIZING MORTGAGE CREDIT
ENHANCEMENT 373 23.1 SIMULATING BORROWER DEFAULT RATES 375 23.2
ESTIMATION OF CUMULATIVE DEFAULT RATES 375 23.3 TRANSLATING CREDIT
ENHANCEMENT TO A THIRD PARTY GUARANTEE FEE 378 23.4 ROLE OF THE CREDIT
RATING AGENCIES (NRSROS) 379 CHAPTER 24 INDEX 383
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
Contents
Foreword xv
Preface xvH
Acknowledgments xxfM
Introduction xxv
PART ONE
Valuation of Fixed-Income Securities
CHAPTER 1
The Time Value of Money 8
1.1 Present Value 3
1.2Future Value 4
1.3 Present Value of an Annuity 5
1.4 Future Value of an Annuity 6
1.5 Solving Financial Questions with Present and Future
Value 6
1.6 Application to Fixed-Income Securities 8
CHAPTER 2
Tnonos si tm wrm structure of interest ratas s
2.1 The Rational or Pure Expectations Hypothesis 10
2.2 The Market Segmentation Theory 13
2.3 The Liquidity Preference Theory 14
2.4 Modeling the Term Structure of Interest Rates 15
2.4.1 Relationship of the Yield Curve to Spot Rates
and Forward Rates 17
2.5 Application of Spot and Forward Rates 17
CHAPTER 3
Rxed-tacome Medics 23
3.1 Maturity 24
3.2 Yield to Maturity 24
VI
CONTENTS
3.3 Weighted Average Life 29
3.4 Duration 31
3.4.1 Macaulay Duration 32
3.4.2 Modified Duration 34
3.5 Convexity 37
3.6 Fisher-Weil Duration and Convexity 40
3.6.1 Fisher-Weil Duration 40
3.6.2 Fisher-Weil Convexity 43
3.6.3 Fisher-Weil vs. Modified Duration and
Convexity 44
3.7 Effective Duration 45
3.8 Effective Convexity 47
3.9 Summing the Aforementioned Measures of Duration
and Convexity 47
3.10 Key Rate Duration 48
CHAPTER 4
The Valuation of HxetHneome Securities 53
4.1 A Valuation Framework for Fixed-Income Securities 54
4.2 Application of the Framework to Structured Securities 54
4.3 Twist and Shift: Characterizing Changes in the Level,
Steepness, and Curvature of the Term Structure 57
4.4 Case Study: 4.00% 30-Year MBS 58
4.4.1 Swap Curve Twist Steepen Scenario 59
4.4.2 Swap Curve Twist Flatten Scenario 64
4.5 Scenario Comparative Analysis 67
CHAPTHiS
Rxod tocamo Return Analyste 88
5.1 Return Strategies 69
5.2 The Components of Return 71
5.3 The Buy-and-Hold Strategy 71
5.3.1 Coupon Income 72
5.3.2 Reinvestment Income 73
5.4 Total and Absolute Returns 74
5.4.1 Price Change 74
5.5 Deconstructing the Fixed-Income Return Profile 74
5.6 Estimating Bond Returns with Price and Risk Measures 76
Contents
ix
FART TWO.... ............
Residential Mortgage-Backed Securities
CHAPTERS
Understanding Mortgage Lending and Lows
6.1 Classification of Real Estate
6.1.1 Residential Mortgage Origination and
Underwriting
6.1.2 Commercial Mortgage Origination and
Underwriting
6.2 Residential Mortgage Loan Amortization
6.3 Deconstructing the Amortization Table
6.4 Mortgage Servicing
CHAPTER 7
Modeling Cash Hows
7.1 Prepayment Conventions
7.1.1 Single Monthly Mortality Rate
7.1.2 Conditional Prepayment Rate
7.1.3 Public Securities Association Model
7.1.4 Prospectus Prepayment Curve, PPC
7.2 Modeling MBS Cash Flows
7.2.1 0% PPC Assumption—No Prepayment
7.2.2 100% PPC Assumption
7.2.3 Applying Prepayment Assumptions
CHAPTER 8
Mortgage Prepayment Analysis
8.1 Big Data—What Is It?
8.2 The Statistical Learner
8.3 Survival Analysis
8.3.1 Working with Censored Data
8.3.2 Right Censored Data
8.3.3 Left Truncation (Delayed Entry)
8.3.4 Left Censored Data
8.3.5 Kaplan-Meier Survivorship Analysis
8.4 The Cox Proportional Hazards Model
81
81
82
86
88
90
91
88
93
94
94
94
96
96
97
98
99
108
103
104
105
105
106
106
106
107
110
X
CONTENTS
8.5 Data Types in
8.5.1 Categorical Variable in
8.5.2 Continuous Variable 112
8.5.3 Time-Dependent Variable 112
8.6 Case Study: FHLMC 30-Year Loan Level Prepayment
Analysis 113
8.6.1 Borrower Economic Incentive to Refinance 113
8.6.2 Loan Seasoning 118
8.6.3 Seasonality 122
8.7 Survival Analysis---Modeling Loan Cohorts 124
8.7.1 Loan Purpose 124
CHAPTTR 9
The Pretflctlve Prepayment Model 181
9.1 Turnover 132
9.2 Loan Seasoning 132
9.2.1 Tuning Loan Seasoning Parameters 133
9.3 Seasonality 133
9.3.1 Tuning the Seasonality Parameters 134
9.4 Borrower Incentive to Refinance 136
9.5 Borrower Burnout 140
9.6 Application of the Prepayment Model 150
9.6.1 Additional Variables Influencing Mortgage
Prepayment Rates 151
PftfiTTHBS
Valuation of Mortgage-Backed Securities
CHAPTER 10
Mortgage Defer del 157
10.1 Evaluating the Dollar Roll 159
10.1.1 The Breakeven Drop Rate 160
10.1.2 The Implied Cost of Funds 163
10.1.3 Hold-versus-Roll Analysis 164
10.2 Risk Associated with the Dollar Roll 165
10.2.1 Prepayment Risk 165
10.2.2 Delivery Risk 166
10.2.3 Adverse Selection Risk 166
Contents Xf
CHAPTER 11
Relative Value Analysis IBS
11.1 Liquidity 169
11.2 Static Cash Flow Analysis 170
11.3 Return Analysis 174
11.3.1 Return Analysis Case Study 176
CHAPTER 12
Optton-AiViisted Spread Analysis 181
12.1 Numerical Methods of Modern Financial Theory 182
12.1.1 Systematic Return—Drift 183
12.1.2 Stochastic Return—Randomness 183
12.2 Cox, Ingersoll, Ross Theory of the Term Structure 184
12.2.1 Model Response to Changes in k (Mean
Reversion) 185
12.2.2 CIR Model Response to Changes in 6
(Long-Term Forward Rate) 187
12.2.3 CIR Model Response to Changes in a
(Volatility) 188
12.3 Calibrating the Model 190
12.4 Building the Option-Adjusted Spread (OAS) Model 193
12.4.1 Short-Term Interest Rate Trajectory 193
12.4.2 Motivating the Prepayment Model 195
12.4.3 Discounting Cash Flows 197
12.4.4 How Many Trajectories? 199
12.5 OAS Analysis as a Decision-Making Tool 201
12.6 OAS Distribution Analysis 204
12.6.1 OAS Price Distribution Analysis 204
12.6.2 Spot Spread Distribution Analysis 206
12.6.3 Weighted Average Life Distribution Analysis 208
12.6.4 OAS Yield to Maturity Distribution 209
12.7 OAS Analysis Strengths and Limitations 211
PIETFOUR
StrartnHnaMo^
CHAPTER 13
Introduction to REMCs 215
13.1 Background and Legal Structure 215
13.2 Two-Tiered REMICs 219
xl
13.3 REMIC Arbitrage
13.4 Bond Lab MBS Structuring Model
CHAPTER 14
Stripped Mortgage-Backed Securities
14.1 Key Rate Duration Analysis
14.1.1 Interest Only
14.1.2 Principal Only
14.2 Option-Adjusted Spread Analysis
14.2.1 Weighted Average Life Analysis
14.2.2 Yield to Maturity Analysis
14.3 The Information Content of the IO-PO Market
14.3.1 Relative Value Analysis Using IO and PO
Prices
14.3.2 IO Prices as a Measure of Prepayment
Sentiment
14.3.3 Calibrating Interest Rate and Prepayment
Models
CHAPTER 15
Ssquentfafiy Structured RBMK
15.1 Key Rate Duration Analysis
15.2 Option-Adjusted Spread Analysis
15.3 Weighted Average Life and Spot Spread Analysis
15.3.1 Tranche A—WAL and Spot Spread
Distribution Analysis
15.3.2 Tranche B—WAL and Spot Spread
Distribution Analysis
15.3.3 Tranche C—WAL and Spot Spread
Distribution Analysis
15.4 Static Cash Flow Analysis
CHAPTER 16
Ptamod Amrtbaflsn Class CMC) mat CaMpariaa RBMCs
16.1 The PAC Bond Sinking Fund Schedule
16.2 Key Rate Duration Analysis
16.3 Option-Ad justed Spread Analysis
16.4 OAS Distribution Analysis
16.4.1 PAC WAL and Spot Spread Distribution
Analysis
16.4.2 Companion WAL and Spot Spread
Distribution Analysis
CONTENTS
220
222
226
228
228
229
231
232
234
237
237
239
240
248
246
249
250
250
252
253
255
258
259
266
269
269
270
273
Contents
16.5 A Final Word Regarding PAC Bands
16.5.1 PAC Band Drift
16.6 Static Cash Flow Analysis
CHAPTER 17
Sequential MJ RBMK
17.1 Key Rate Duration Analysis
17.2 OAS Distribution Analysis
CHAPTER 18
PAC-ftoater-ktversa Floater REMK
18.1 Structuring the Floater and Inverse Floater
18.1.1 Floater Structure
18.1.2 The Floater-Inverse Principal Split
18.1.3 The Floater-Inverse Coupon Structure
18.2 A Framework for Floating Rate Securities
18.2.1 Deconstructing a Floating Rate Bond
18.3 Option-Adjusted Spread Analysis
18.4 Key Rate Duration Analysis
18.4.1 Floating Rate Bond
18.4.2 Inverse Floating Rate Bond
CHAPTER 18
Accrual REMK Z-Bomt
19.1 Key Rate Duration Analysis
19.2 Option-Adjusted Spread Analysis
19.2.1 OAS Weighted Average Life Distribution
19.2.2 OAS Spread Distribution
WKTHtt .
Martiaac Croft Mysit
CHAPTER 20
20.1 Case Study FHLMC 30-Year Default Analysis
20.1.1 Influence of Loan-to-Value Ratio on the
Expected Default Rate
20.1.2 Original Loan-to-Value Odds Ratio
20.1.3 Updated Loan-to-Value Odds Ratio
20.2 Other Variables Influencing Borrower Default
20.2.1 Borrower Credit Score
20.2.2 Borrower Debt to Income
XU
2 76
276
277
278
281
283
287
287
288
289
290
292
292
294
295
296
298
301
306
307
307
307
318
316
316
323
323
325
326
327
Jdv
CONTENTS
20.3 Spread at Origination (SATO) and Default 327
20.4 Default Model Selection 329
CHAPTER 21
The Proactive Default Model 333
21.1 Constant Default Rate 335
21.2 Borrower Original Loan-to-Value Default Multiplier 335
21.3 Updated Loan-to-Value Default Multiplier 336
21.4 Spread at Origination (SATO) Default Multipliers 338
21.5 Completing the Prepayment Model 340
CHAPTBI22
The Basics of Private-Label MBS 343
22.1 I Structure 344
22.2 H Structure 344
22.3 Y Structure 345
22.4 Shifting Interest 347
22.5 Deep Mortgage Insurance MI 349
22.6 Excess Interest 350
22.7 Overcollateralization 350
22.8 Structural Credit Protection 351
22.8.1 Delinquency Triggers 351
22.8.2 Overcollaterlization Step-up Trigger 352
22.8.3 Available Funds Cap 352
22.9 Hedging Asset/Liability Mismatches 354
22.9.1 Hedging with Interest Rate Caps 354
22.9.2 Hedging with Interest Rate Swaps 355
CHAPTER 23
Sizing Mortgage Crodt Enhancement 368
23.1 Simulating Borrower Default Rates 361
23.2 Estimation of Cumulative Default Rates 361
23.3 Translating Credit Enhancement to a Third-Party
Guarantee Fee 365
23.4 Role of the Credit Rating Agencies (NRSROs) 366
About the Website 887
BUHography 889
Mex 871
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| id | DE-604.BV043592578 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:30:28Z |
| institution | BVB |
| isbn | 9781118944004 9781119221531 9781119221500 |
| language | English |
| lccn | 015035916 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-029006942 |
| oclc_num | 953070653 |
| open_access_boolean | |
| owner | DE-355 DE-BY-UBR |
| owner_facet | DE-355 DE-BY-UBR |
| physical | xxvi, 390 Seiten |
| publishDate | 2016 |
| publishDateSearch | 2016 |
| publishDateSort | 2016 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley finance series |
| spelling | Schultz, Glenn M. Verfasser aut Investing in mortgage and asset backed securities, + website financial modeling with r and open source analytics Glenn M. Schultz, CFA ; foreword by Frank J. Fabozzi, Ph.D, CFA Hoboken Wiley [2016] xxvi, 390 Seiten txt rdacontent n rdamedia nc rdacarrier Wiley finance series Includes bibliographical references and index BUSINESS & ECONOMICS / Investments & Securities bisacsh Wirtschaft Mortgage-backed securities Securities Investments BUSINESS & ECONOMICS / Investments & Securities Investition (DE-588)4027556-5 gnd rswk-swf Asset-Backed Security (DE-588)4343344-3 gnd rswk-swf Mortgage-Backed Security (DE-588)4593741-2 gnd rswk-swf Asset-Backed Security (DE-588)4343344-3 s Mortgage-Backed Security (DE-588)4593741-2 s Investition (DE-588)4027556-5 s b DE-604 Erscheint auch als Online-Ausgabe Schultz, Glenn M , author. Investing in mortgage and asset backed securities, + website http://catalogimages.wiley.com/images/db/jimages/9781118944004.jpg Cover image LoC Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029006942&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029006942&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Schultz, Glenn M. Investing in mortgage and asset backed securities, + website financial modeling with r and open source analytics BUSINESS & ECONOMICS / Investments & Securities bisacsh Wirtschaft Mortgage-backed securities Securities Investments BUSINESS & ECONOMICS / Investments & Securities Investition (DE-588)4027556-5 gnd Asset-Backed Security (DE-588)4343344-3 gnd Mortgage-Backed Security (DE-588)4593741-2 gnd |
| subject_GND | (DE-588)4027556-5 (DE-588)4343344-3 (DE-588)4593741-2 |
| title | Investing in mortgage and asset backed securities, + website financial modeling with r and open source analytics |
| title_auth | Investing in mortgage and asset backed securities, + website financial modeling with r and open source analytics |
| title_exact_search | Investing in mortgage and asset backed securities, + website financial modeling with r and open source analytics |
| title_full | Investing in mortgage and asset backed securities, + website financial modeling with r and open source analytics Glenn M. Schultz, CFA ; foreword by Frank J. Fabozzi, Ph.D, CFA |
| title_fullStr | Investing in mortgage and asset backed securities, + website financial modeling with r and open source analytics Glenn M. Schultz, CFA ; foreword by Frank J. Fabozzi, Ph.D, CFA |
| title_full_unstemmed | Investing in mortgage and asset backed securities, + website financial modeling with r and open source analytics Glenn M. Schultz, CFA ; foreword by Frank J. Fabozzi, Ph.D, CFA |
| title_short | Investing in mortgage and asset backed securities, + website |
| title_sort | investing in mortgage and asset backed securities website financial modeling with r and open source analytics |
| title_sub | financial modeling with r and open source analytics |
| topic | BUSINESS & ECONOMICS / Investments & Securities bisacsh Wirtschaft Mortgage-backed securities Securities Investments BUSINESS & ECONOMICS / Investments & Securities Investition (DE-588)4027556-5 gnd Asset-Backed Security (DE-588)4343344-3 gnd Mortgage-Backed Security (DE-588)4593741-2 gnd |
| topic_facet | BUSINESS & ECONOMICS / Investments & Securities Wirtschaft Mortgage-backed securities Securities Investments Investition Asset-Backed Security Mortgage-Backed Security |
| url | http://catalogimages.wiley.com/images/db/jimages/9781118944004.jpg http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029006942&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029006942&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT schultzglennm investinginmortgageandassetbackedsecuritieswebsitefinancialmodelingwithrandopensourceanalytics |
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Inhaltsverzeichnis