The Handbook of Mortgage-Backed Securities by Frank J. FabozziThe Handbook of Mortgage-Backed Securities by Frank J. Fabozzi

The Handbook of Mortgage-Backed Securities

EditorFrank J. Fabozzi

Hardcover | September 17, 2016

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This edition of The Handbook of Mortgage-Backed Securities, the first revision following the subprime mortgage crisis, is designed to provide not only the fundamentals of these securities and the investment characteristics that make them attractive to a broad range of investors, but alsoextensive coverage on the state-of-the-art strategies for capitalizing on the opportunities in this market. The book is intended for both the individual investor and the professional manager. The volume includes contributions from a wide range of experts most of whom have been actively involved inthe evolution of the mortgage-backed securities market.
Frank J. Fabozzi is editor of the Journal of Portfolio Management, Professor of Finance at EDHEC Business School, and a Senior Scientific Adviser at EDHEC-Risk Institute. A CFA holder, Professor Fabozzi is a trustee for the BlackRock closed-end fund complex. He received the CFA Institute's "C. Stewart Sheppard Award" in 2007, as well a...
Title:The Handbook of Mortgage-Backed SecuritiesFormat:HardcoverDimensions:848 pages, 9.69 × 6.73 × 0 inPublished:September 17, 2016Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0198785771

ISBN - 13:9780198785774

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Table of Contents

PART ONE: BACKGROUND1. Bill Berliner, Adam Quinones and Anand K. Bhattacharya: Mortgage Loans to Mortgage-Backed Securities2. David M. Lukach,Thomas Knox, Eliza Kwong, and Anoop Lall: Understanding the Prospectus and Prospectus Supplement3. Frank J. Fabozzi: Cash Flow Mathematics For Agency Mortgage-Backed Securities4. Sharon Borwn-Hruska, and Georgi Tsvetkov: New Regulations for Securitizations and Asset-Backed Securities5. Andrew Carron, Anne Gron, and Thomas Schopflocher: Impact of the Credit Crisis on MBS MarketsPART TWO: AGENCY RMBS: BASIC PRODUCTS6. Frank J. Fabozzi, Glenn Schultz, and Linda Lowell: Agency Passthroughs7. Bill Berliner, Anand K. Bhattacharya, and Steve Banerjee: Hybrid ARMs8. Anand K. Bhattacharya, Bill Berliner, and Steve Banerjee: Customized Mortgage-Backed Securities9. Debra Chen: Single Family Rental Deals10. Debra Chen: Agency Credit Risk Sharing Deals11. Philip Obazee and Ion Dan: Agency Mortgage-Backed Securities: Performance, Valuation and Risk Premium ComparativesPART THREE: AGENCY RMBS: MUTLI-CLASS12. Frank J. Fabozzi: Agency CMOs13. William Irving, Linda Lowell, and Frank J. Fabozzi: Agency Planned Amortization Class Bonds14. Glenn Schultz, Linda Lowell, and Frank J. Fabozzi: Accrual Bonds/Z Bonds15. Linda Lowell, Glenn Schultz, and Frank J. Fabozzi: Support Bonds with Schedules16. Airat Chanyshev, Esther Bruegger, and Erin McHugh: Floating Rate Mortgage Securities: CMOs and RMBS17. Cyrus Mohebbi, Raymond Yu, Marc Barakat, and Paula Steisel Goldfarb: Inverse Floating-Rate CMOs18. Cyrus Mohebbi, Gary Li, and Todd White: Stripped Mortgage-Backed SecuritiesPART FOUR: PRIVATE LABEL MBS19. Mark Adelson: Lessons of the Financial Crisis for Private-Label MBS20. Frank J. Fabozzi and Bill Berliner: Credit Enhancement21. Thomas Schopflocher and Jordan Milev: Covered BondsPART FIVE: COMMERCIAL MORTGAGE-BACKED SECURITIES22. Ed Daingerfield: Agency Commercial Mortgage Securities23. Philip O. Obazee and Duane C. Hewlett: CMBS Collateral Performance: Measures and ValuationsPART SIX: VALUATION AND PREPAYMENT MODELING24. Rajashri (Priya) Joshi, Tom Davis, and Bill McCoy,: Valuation of Agency Mortgage-Backed Securities25. Jonathon Weiner: Prepayment Modeling26. Steve Banerjee, Anand K. Bhattacharya and Bill Berliner: Contemporary Challenges in Loan-Level Prepayment Modeling27. Bill Berliner and Anand Bhattacharya: Issues and Challenges in Non-Agency Mortgage Securitizations28. Faten Sabry, Ignacio Franceschelli, and Drew Claxton: Residential Mortgage Defaults, Foreclosures and ModificationsPART SEVEN: PORTFOLIO MANAGEMENT TOOLS AND TECHNIQUES29. Eric M. Wang and Bruce D. Phelps: Managing Against the Barclays Capital MBS Index: MBS Index Prices30. Nikki Stefanelli and Bruce D. Phelps: MBS Index Replication with TBAs31. Frank J. Fabozzi: Alternative Methods for Estimating Duration for Mortgage-Backed Securities32. Brett R. Dunn. Kenneth B. Dunn, Frank J. Fabozzi, and Roberto Sella: Hedging Agency Mortgage-Related Securities33. Bill Berliner and Anand Bhattacharaya: Dollar Rolls34. Chu Okongwu, Tim McKenna, Oksana Kitaychik, and Giulio Renzi Ricci: Credit Derivatives and MBS35. Mark Fontanilla: A Framework for Determining Relative Value in the Agency MBS Market