From the Inside Flap
Even with the recent events that have occurred in this field, mortgage-backed securities (MBS) continue to comprise one of thelargest securities markets in the world. However, since thepublication of the first edition of Mortgage-Backed Securities, both the consumer mortgage and MBS sectors have undergonesignificant changes--many of them resulting directly, andindirectly, from the collapse in mortgage performance thatinitially appeared in late 2006 and led to the financial crisis of2007-2008.
That's why the expert author team of Frank Fabozzi, AnandBhattacharya, and William Berliner--who have witnessed manycycles of change in the mortgage and MBS sectors--have returnedto create the Second Edition of Mortgage-Backed Securities. In it, they skillfully reassess the MBS sector in the context of thechanges resulting from the crisis, as well as explore the insightsgained in the post-crisis period.
Engaging and informative, this updated edition continues toaddress the investment characteristics, creation, and analysis ofmortgage-backed securities, but now does so with the lessons anddata accumulated from post-2006 events in mind. Along the way, itoffers valuable insights that reflect the current marketenvironment: reexamining prepayment behavior and analysis todescribe the latest thinking on prepayment speeds and behavior, while taking into account credit and housing-related factors; anddevoting an entirely new chapter to the evaluation of non-agencyMBS.
Divided into four comprehensive parts, this reliable resourcecontains cutting-edge concepts you'll need to understand in orderto succeed within this arena.
Part One: introduces the essential aspects of the mortgage andMBS markets
Part Two: discusses prepayment and default behavior, along withan array of metrics and conventions used to quantify theseactivities
Part Three: describes a variety of structures and tranches, along with techniques used in structuring them
Part Four: outlines the metrics and methodologies necessary toevaluate the potential risks and returns associated withmortgage-backed securities
The mortgage and MBS markets remain in a highly unsettled state, which makes a broad and sophisticated understanding of MBS marketsand products essential. The Second Edition of Mortgage-BackedSecurities offers you a realistic assessment of this field and willput you in a better position to excel in one of the most dynamicand challenging areas of finance.
FRANK J. FABOZZI, PHD, CFA, is Professor of Finance at EDHEC Business School and a member of the EDHEC-Risk Institute. Prior to joining EDHEC, he held various professorial positions in finance at Yale University's School of Management from 1994 to 2011 and, from 1986 to 1992, was a visiting professor of finance and accounting at MIT's Sloan School of Management. He is also Editor of the Journal of Portfolio Management.
ANAND K. BHATTACHARYA, PHD, is a Professor of Practice in the Department of Finance, W. P. Carey School of Business, Arizona State University, and a Fixed Income Strategist with Stifel, Nicolaus & Company, Inc. He has consulted with various financial institutions on issues of balance sheet restructuring and asset valuation.
WILLIAM S. BERLINER is the Principal of Berliner Consulting & Research, LLC, a boutique firm specializing in mortgages and mortgage-backed securities. His primary focus is security and loan valuation and hedging, serving both institutional investors and mortgage originators. Berliner also writes a monthly column for Asset Securitization Report.
