Mortgage-Backed Securities: Products, Structuring, and Analytical Techniques, 2nd Edition

Despite the recent changes and dislocations experienced by the mortgage industry, mortgage-backed securities (MBS) continue to comprise one of the largest securities markets in the world. The expert author team of Frank Fabozzi, Anand Bhattacharya, and William Berliner understands the intricacies of the MBS market, and now, with the Second Edition of Mortgage-Backed Securities, they skillfully reassess the MBS sector in the context of the recent financial crisis.

Divided into four comprehensive parts, this reliable guide skillfully addresses the investment characteristics, creation, and analysis of mortgage-backed securities with post-crisis lessons in mind. Each informative chapter outlines the products, structures, and analytical techniques traders and investors need to be familiar with in order to succeed in this arena.

Updated to reflect the reality of today's market environment, this book covers a variety of MBS-related issues, including:

• The current thinking on prepayment speeds and behavior, which take into account credit and housing-related factors

• Fundamental MBS structuring techniques such as divisions of principal and interest

• The structuring of private-label CMOs

• Measuring MBS interest-rate risk

• An option theoretic approach to valuing MBS

• The evaluation of non-agency MBS

Filled with in-depth insights and expert advice, Mortgage-Backed Securities, Second Edition offers you a realistic assessment of this field and provides you with the tools to make the most of your time within it.