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Investing in Mortgage-Backed and Asset-Backed Securities, + Website: Financial Modeling with R and Open Source Analytics
Contributor(s): Schultz, Glenn M. (Author), Fabozzi, Frank J. (Foreword by)
ISBN: 1118944003     ISBN-13: 9781118944004
Publisher: Wiley
OUR PRICE:   $90.25  
Product Type: Hardcover - Other Formats
Published: January 2016
Qty:
Additional Information
BISAC Categories:
- Business & Economics | Investments & Securities - General
Dewey: 332.632
LCCN: 2015035916
Series: Wiley Finance
Physical Information: 1.4" H x 6.1" W x 9" (1.35 lbs) 416 pages
 
Descriptions, Reviews, Etc.
Publisher 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.