Managing MBS Portfolios
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More About This Title Managing MBS Portfolios
English
Frank J. Fabozzi is editor of the Journal of Portfolio Management and an Adjunct Professor of Finance at Yale University's School of Management. Frank is a Chartered Financial Analyst and Certified Public Accountant. He is on the board of directors of the Guardian Life family of funds and the BlackRock complex of funds. He earned a doctorate of economics from the City University of New York in 1972 and in 1994 received an honorary doctorate of Human Letters from Nova Southeastern University. Frank is a Fellow of the International Center for Finance at Yale University.
English
1. Introduction.
2. Mortgage Loans.
3. Passthroughs, Mortgage Strips, and Callable Passthroughs.
4. Agency Collateralized Mortgage Obligations.
5. Credit-Sensitive Mortgage-Backed Securities.
6. Prepayment Analysis.
7. Collateral Analysis of Derivative Mortgage Products.
8. Structure Analysis for Derivative Mortgage Products.
9. Leveraging MBS Portfolios: Repos, Dollar Rolls, and Mortgage Swaps.
10. Measuring the Interest Rate Risk of a Mortgage-Backed Security.
11. OAS Analysis Using Monte Carlo Simulation.
12. Component Analysis of Complex Derivative Mortgage Products.
13. Total Return Analysis and Portfolio Construction/Optimization.
Index.
2. Mortgage Loans.
3. Passthroughs, Mortgage Strips, and Callable Passthroughs.
4. Agency Collateralized Mortgage Obligations.
5. Credit-Sensitive Mortgage-Backed Securities.
6. Prepayment Analysis.
7. Collateral Analysis of Derivative Mortgage Products.
8. Structure Analysis for Derivative Mortgage Products.
9. Leveraging MBS Portfolios: Repos, Dollar Rolls, and Mortgage Swaps.
10. Measuring the Interest Rate Risk of a Mortgage-Backed Security.
11. OAS Analysis Using Monte Carlo Simulation.
12. Component Analysis of Complex Derivative Mortgage Products.
13. Total Return Analysis and Portfolio Construction/Optimization.
Index.
