Investing in Mortgage-Backed and Asset-Backed Securities : Financial Modeling with R and Open Source Analytics.
Glenn M. Schultz
Bok Engelsk 2016 · Electronic books.
| Omfang | 1 online resource (419 pages)
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| Utgave | 1st ed.
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| Opplysninger | Cover -- Title Page -- Copyright -- Contents -- Foreword -- Preface -- Acknowledgments -- Introduction -- Part 1 Valuation of Fixed-Income Securities -- Chapter 1 The Time Value of Money -- 1.1 Present Value -- 1.2 Future Value -- 1.3 Present Value of an Annuity -- 1.4 Future Value of an Annuity -- 1.5 Solving Financial Questions with Present and Future Value -- 1.6 Application to Fixed-Income Securities -- Chapter 2 Theories of the Term Structure of Interest Rates -- 2.1 The Rational or Pure Expectations Hypothesis -- 2.2 The Market Segmentation Theory -- 2.3 The Liquidity Preference Theory -- 2.4 Modeling the Term Structure of Interest Rates -- 2.4.1 Relationship of the Yield Curve to Spot Rates and Forward Rates -- 2.5 Application of Spot and Forward Rates -- Chapter 3 Fixed-Income Metrics -- 3.1 Maturity -- 3.2 Yield to Maturity -- 3.3 Weighted Average Life -- 3.4 Duration -- 3.4.1 Macaulay Duration -- 3.4.2 Modified Duration -- 3.5 Convexity -- 3.6 Fisher-Weil Duration and Convexity -- 3.6.1 Fisher-Weil Duration -- 3.6.2 Fisher-Weil Convexity -- 3.6.3 Fisher-Weil vs. Modified Duration and Convexity -- 3.7 Effective Duration -- 3.8 Effective Convexity -- 3.9 Summing the Aforementioned Measures of Duration and Convexity -- 3.10 Key Rate Duration -- Chapter 4 The Valuation of Fixed-Income Securities -- 4.1 A Valuation Framework for Fixed-Income Securities -- 4.2 Application of the Framework to Structured Securities -- 4.3 Twist and Shift: Characterizing Changes in the Level, Steepness, and Curvature of the Term Structure -- 4.4 Case Study: 4.00% 30-Year MBS -- 4.4.1 Swap Curve Twist Steepen Scenario -- 4.4.2 Swap Curve Twist Flatten Scenario -- 4.5 Scenario Comparative Analysis -- Chapter 5 Fixed-Income Return Analysis -- 5.1 Return Strategies -- 5.2 The Components of Return -- 5.3 The Buy-and-Hold Strategy -- 5.3.1 Coupon Income.. - 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 Sequentially Structured REMIC -- 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 Planned Amortization Class (PAC) and Companion REMICs -- 16.1 The PAC Bond Sinking Fund Schedule -- 16.2 Key Rate Duration Analysis -- 16.3 Option-Adjusted 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 -- 16.5 A Final Word Regarding PAC Bands -- 16.5.1 PAC Band Drift -- 16.6 Static Cash Flow Analysis -- Chapter 17 Sequential IO REMIC -- 17.1 Key Rate Duration Analysis -- 17.2 OAS Distribution Analysis -- Chapter 18 PAC-Floater-Inverse Floater REMIC -- 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 19 Accrual REMIC Z-Bond -- 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 -- Part 5 Mortgage Credit Analysis -- Chapter 20 Mortgage Default Modeling -- 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 -- 20.3 Spread at Origination (SATO) and Default -- 20.4 Default Model Selection -- Chapter 21 The Predictive Default Model -- 21.1 Constant Default Rate -- 21.2 Borrower Original Loan-to-Value Default Multiplier -- 21.3 Updated Loan-to-Value Default Multiplier -- 21.4 Spread at Origination (SATO) Default Multipliers -- 21.5 Completing the Prepayment Model -- Chapter 22 The Basics of Private-Label MBS -- 22.1 I Structure -- 22.2 H Structure -- 22.3 Y Structure -- 22.4 Shifting Interest -- 22.5 Deep Mortgage Insurance MI -- 22.6 Excess Interest -- 22.7 Overcollateralization -- 22.8 Structural Credit Protection -- 22.8.1 Delinquency Triggers -- 22.8.2 Overcollaterlization Step-up Trigger -- 22.8.3 Available Funds Cap -- 22.9 Hedging Asset/Liability Mismatches -- 22.9.1 Hedging with Interest Rate Caps -- 22.9.2 Hedging with Interest Rate Swaps -- Chapter 23 Sizing Mortgage Credit Enhancement -- 23.1 Simulating Borrower Default Rates -- 23.2 Estimation of Cumulative Default Rates -- 23.3 Translating Credit Enhancement to a Third-Party Guarantee Fee -- 23.4 Role of the Credit Rating Agencies (NRSROs) -- About the Website -- Introduction to BondLab -- Source Code for the BondLab R Package -- Installation Instructions -- Bibliography -- Index -- EULA.. - 5.3.2 Reinvestment Income -- 5.4 Total and Absolute Returns -- 5.4.1 Price Change -- 5.5 Deconstructing the Fixed-Income Return Profile -- 5.6 Estimating Bond Returns with Price and Risk Measures -- Part 2 Residential Mortgage-Backed Securities -- Chapter 6 Understanding Mortgage Lending and Loans -- 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 Flows -- 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 -- 8.5 Data Types -- 8.5.1 Categorical Variable -- 8.5.2 Continuous Variable -- 8.5.3 Time-Dependent Variable -- 8.6 Case Study: FHLMC 30-Year Loan Level Prepayment Analysis -- 8.6.1 Borrower Economic Incentive to Refinance -- 8.6.2 Loan Seasoning -- 8.6.3 Seasonality -- 8.7 Survival Analysis-Modeling Loan Cohorts -- 8.7.1 Loan Purpose -- Chapter 9 The Predictive Prepayment Model -- 9.1 Turnover -- 9.2 Loan Seasoning -- 9.2.1 Tuning Loan Seasoning Parameters -- 9.3 Seasonality -- 9.3.1 Tuning the Seasonality Parameters -- 9.4 Borrower Incentive to Refinance -- 9.5 Borrower Burnout.. - 9.6 Application of the Prepayment Model -- 9.6.1 Additional Variables Influencing Mortgage Prepayment Rates -- Part 3 Valuation of Mortgage-Backed Securities -- Chapter 10 Mortgage Dollar Roll -- 10.1 Evaluating the Dollar Roll -- 10.1.1 The Breakeven Drop Rate -- 10.1.2 The Implied Cost of Funds -- 10.1.3 Hold-versus-Roll Analysis -- 10.2 Risk Associated with the Dollar Roll -- 10.2.1 Prepayment Risk -- 10.2.2 Delivery Risk -- 10.2.3 Adverse Selection Risk -- Chapter 11 Relative Value Analysis -- 11.1 Liquidity -- 11.2 Static Cash Flow Analysis -- 11.3 Return Analysis -- 11.3.1 Return Analysis Case Study -- Chapter 12 Option-Adjusted Spread Analysis -- 12.1 Numerical Methods of Modern Financial Theory -- 12.1.1 Systematic Return-Drift -- 12.1.2 Stochastic Return-Randomness -- 12.2 Cox, Ingersoll, Ross Theory of the Term Structure -- 12.2.1 Model Response to Changes in (Mean Reversion) -- 12.2.2 CIR Model Response to Changes in (Long-Term Forward Rate) -- 12.2.3 CIR Model Response to Changes in (Volatility) -- 12.3 Calibrating the Model -- 12.4 Building the Option-Adjusted Spread (OAS) Model -- 12.4.1 Short-Term Interest Rate Trajectory -- 12.4.2 Motivating the Prepayment Model -- 12.4.3 Discounting Cash Flows -- 12.4.4 How Many Trajectories? -- 12.5 OAS Analysis as a Decision-Making Tool -- 12.6 OAS Distribution Analysis -- 12.6.1 OAS Price Distribution Analysis -- 12.6.2 Spot Spread Distribution Analysis -- 12.6.3 Weighted Average Life Distribution Analysis -- 12.6.4 OAS Yield to Maturity Distribution -- 12.7 OAS Analysis Strengths and Limitations -- Part 4 Structuring Mortgage-Backed Securities -- Chapter 13 Introduction to REMICs -- 13.1 Background and Legal Structure -- 13.2 Two-Tiered REMICs -- 13.3 REMIC Arbitrage -- 13.4 Bond Lab MBS Structuring Model -- Chapter 14 Stripped Mortgage-Backed Securities -- 14.1 Key Rate Duration Analysis.
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| Emner | |
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| ISBN | 9781119221531
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