Investing in Mortgage-Backed and Asset-Backed Securities: Financial Modeling with R and Open Source Analytics, + Website

A Complete Guide to Investing in and Managing a Portfolio of Mortgage- and Asset-Backed Securities—Using Freely Available Public Data and Open Source Analytics

Investing in Mortgage-Backed and Asset-Backed Securities is your open source guide to investing in the market of mortgage-backed (MBS) and asset-backed (ABS) securities.

All of the financial data and software used in this book are available via open source, and the financial software used is freely available to you, too, on the companion website. Bond Lab^® is the first open source, object-oriented software designed to analyze structured securities, and with it you can reproduce all the research and proprietary valuation models inside, as well as customize the analysis and create your own technology stack. Focused explanations written in a clear, illustrative narrative quickly get you up to speed on:

• The valuation of fixed-income securities—metrics, valuation framework, and return analysis
• Residential mortgage-backed securities—security cash flow, mortgage dollar roll, adjustable rate mortgages, and private label MBS
• Prepayment modeling and the valuation of mortgage credit
• Mortgage-backed securities valuation techniques—pass-through valuation and interest rate models
• Complete with a structuring tool, REMIC arbitrage and derivative MBS execution are clearly outlined and explained to the reader

Investing in Mortgage-Backed and Asset-Backed Securities is your open source solution to understanding, navigating, and investing in this rich market.