Mortgage valuation models : embedded options, risk, and uncertainty

Resource Information

The work Mortgage valuation models : embedded options, risk, and uncertainty represents a distinct intellectual or artistic creation found in European University Institute. This resource is a combination of several types including: Work, Language Material, Books.

Label

Mortgage valuation models : embedded options, risk, and uncertainty

Title remainder

embedded options, risk, and uncertainty

Statement of responsibility

Andrew S. Davidson and Alexander Levin

Creator

• Davidson, Andrew S

Contributor

• Levin, Alexander, (Quantitative analyst)

Author

• Levin, Alexander, (Quantitative analyst)

Subject

• Mortgage-backed securities -- Mathematical models
• Mortgage-backed securities -- Valuation

Language

eng

Summary

Mortgage-backed securities (MBS) are among the most complex of all financial instruments. Analysis of MBS requires blending empirical analysis of borrower behavior with the mathematical modeling of interest rates and home prices. Over the past 25 years, Andrew Davidson and Alexander Levin have been at the leading edge of MBS valuation and risk analysis. Mortgage Valuation Models: Embedded Options, Risk, and Uncertainty contains a detailed description of the sophisticated theories and advanced methods that the authors employ in real-world analyses of mortgage-backed securities. Issues such as complexity, borrower options, uncertainty, and model risk play a central role in the authors' approach to the valuation of MBS. The coverage spans the range of mortgage products from loans and TBA (to-be-announced) pass-through securities to subordinate tranches of subprime-mortgage securitizations. With reference to the classical CAPM and APT, the book advocates extending the concept of risk-neutrality to modeling home prices and borrower options, well beyond interest rates. It describes valuation methods for both agency and non-agency MBS including pricing new loans; approaches to prudent risk measurement, ranking, and decomposition; and methods for modeling prepayments and defaults of borrowers. The authors also reveal quantitative causes of the 2007-09 financial crisis and provide insight into the future of the U.S. housing finance system and mortgage modeling as this field continues to evolve. This book will serve as a foundation for the future development of models for mortgage-backed securities.--

Member of

• Financial Management Association survey and synthesis series

Assigning source

Provided by Publisher

Cataloging source

StDuBDS

Illustrations

illustrations

Index

index present

Literary form

non fiction

Nature of contents

bibliography

Series statement

Financial Management Association survey and synthesis series