Mortgage Valuation Models: Embedded Options, Risk, and Uncertainty by Alexander

Description: Mortgage Valuation Models by Alexander Levin, Andrew Davidson Estimated delivery 3-12 business days Format Hardcover Condition Brand New Description Valuation of mortgage-backed securities requires blending empirical analysis of borrower behavior and mathematical modeling of interest rates and home prices, with recognition of various prices of risk and uncertainty. This book offers a detailed description of the sophisticated theories and advanced methods used for the real-world valuation of MBS. Publisher Description 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 adetailed 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, andmodel 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 MBSincluding pricing new loans; approaches to prudent risk measurement, ranking, and decomposition; and methods for modeling prepayments and defaults of borrowers.The authors alsoreveal 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. Author Biography Andrew Davidson is a financial innovator and leader in the development of financial research and analytics. He has worked extensively on mortgage-backed securities product development, valuation, and hedging. He is president of Andrew Davidson & Co., Inc., a New York firm specializing in the application of analytical tools to investment management, which he founded in 1992. He is co-author of the books Securitization: Structuring andInvestment Analysis and Mortgage-Backed Securities: Investment Analysis & Valuation Techniques. He has also contributed to The Handbook of Mortgage-Backed Securities, Mortgage-Backed Securities: New Applications and Research, andThe Journal of Real Estate Finance and Economics. He received an M.B.A. in Finance at the University of Chicago and a B.A. in Mathematics and Physics at Harvard University.Alexander Levin is Director of Financial Engineering at Andrew Davidson & Co., Inc. He has developed innovative and efficient valuation models for mortgage-backed securities, including the Active-Passive Decomposition burnout model, the concept of prepay risk-and-option-adjusted valuation, and the method of Credit Option-Adjusted Spread and non-Monte Carlo shortcuts. His recent work focuses on the valuation of instruments exposed to credit risk, home-price modeling, andprojects related to the MBS crisis. Levin has been a guest speaker at both academic and practitioner events and has published a number of papers. Levin is a recipient of the 2014 Mortgage Banking Magazines TechnologyAll-Stars award. He holds an M.S. in Applied Mathematics from Naval Engineering Institute, Leningrad, and a Ph.D. in Control and Dynamic Systems from Leningrad State University. Details ISBN 0199998167 ISBN-13 9780199998166 Title Mortgage Valuation Models Author Alexander Levin, Andrew Davidson Format Hardcover Year 2014 Pages 464 Publisher Oxford University Press Inc GE_Item_ID:139292945; About Us Grand Eagle Retail is the ideal place for all your shopping needs! With fast shipping, low prices, friendly service and over 1,000,000 in stock items - you're bound to find what you want, at a price you'll love! Shipping & Delivery Times Shipping is FREE to any address in USA. Please view eBay estimated delivery times at the top of the listing. Deliveries are made by either USPS or Courier. 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