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Handbook of Nonagency Mortgage-backed Securities, Second Edition : Frank J. Fabozzi Series - Frank J. Fabozzi

Handbook of Nonagency Mortgage-backed Securities, Second Edition

Frank J. Fabozzi Series

By: Frank J. Fabozzi (Editor), Chuck Ramsey (Editor), Michael Marz (Editor)

Hardcover

Published: 15th February 2000
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Frank Fabozzi and Chuck Ramsey update their treatise on nonagency mortgage backed securities in this third edition of The Handbook of Nonagency Mortgage Backed Securities. Focused on an important investing area that continues to grow, this book provides comprehensive coverage of all aspects of this specialized market sector, including the mortgage-related asset-backed securities market and commercial mortgage-backed securities. There is information on raw products, such as jumbo loans, alternative A mortgages, and 125 LTV mortgages, as well as structured products, analytical techniques, prepayment characteristics, and credit issues. This fast-growing segment also includes nonagency pass through, nonagency collateralized mortgage obligations, home loan equity-backed securities, and manufacture housing loan backed securities.

Contributing Authors.

SECTION I: RESIDENTIAL REAL ESTATE-BACKED SECURITIES.

PART A: PRODUCTS AND THEIR STRUCTURE.

1. The Nonagency Mortgage Market: Background and Overview (E. Bruskin, et al.).

2. Understanding Shifting Interest Subordination (M. Clancy and M. Constantino, III).

3. Understanding Compensating Interest (L. Goodman and T. Zimmerman).

4. RALI Alternative-A Mortgages (S. Banerjee and E. Mustafa).

5. Home Equity Loans (C. Schorin, et al.).

6. Home Equity Loan Transaction Structures (C. Schorin, et al.).

7. Home Equity Line of Credit (HELOC) Securitizations (W. Roever, et al.).

8. Securitization of 125 LTV Mortgages (H. Katz and G. Costello).

9. Manufactured Housing: Overview, Securitization, and Prepayments (S. Abrahams, et al.).

10. Securities Backed by CRA Loans (D. Westhoff and V. Srinivasan).

11. Single Family Mortgage Revenue Bonds (M. Marz and F. Fabozzi).

PART B: CREDIT ANALYSIS.

12. The Default and Loss Experience of Nonagency MBS (T. Gillis).

13. The Rating Agencies' Approach (D. Bendt, et al.).

14. The Evaluation of Excess Spread in Sub-Prime Transactions (A. Figueroa).

15. A Credit Intensive Approach to Analyzing Whole Loan CMOs (E. Toy).

16. Risk-Based Pricing Nonagency Mortgages and Securities (F. Raiter).

PART C: PREPAYMENT ANALYSIS AND VALUATION MODELING.

17. The Next Generation of Prepayment Models to Value Nonagency MBS (D. Westhoff and V. Srinivasan).

18. Payment Modeling and Valuation of Home Equity Loan Securities (D. Westhoff and M. Feldman).

19. Identifying Relative Value in Home Equity Loan and Manufactured Housing Securities Using OAS Analysis (A. Dickstein).

20. Home Equity Loan Prepayment Model and OAS Implications (C. Schorin, et al.).

21. A Risk-Return Framework for Evaluating Non-Investment-Grade Subordinated MBS (L. Goodman and L. Lowell).

22. Prepayments on Jumbo Loans (L. Goodman).

SECTION II: COMMERCIAL MORTGAGE-BACKED SECURITIES.

23. Introduction to Commercial Mortgage-Backed Securities (B. Lancaster).

24. Understanding Prepayment in CMBS Deals (D. Cheng, et al.).

25. Credit-Driven Prepayment and Default Analysis (M. Ervolini, et al.).

26. An Empirical Framework for Estimating CMBS Defaults (D. Westhoff, et al.).

27. Valuing the Prepayment and Credit Risks of Commercial Mortgage Securities (M. Youngblood).

28. An Options Approach to Commercial Mortgages and CMBS Valuation and Risk Analysis (D. Jacob, et al.).

Index.

ISBN: 9781883249687
ISBN-10: 1883249686
Series: Frank J. Fabozzi Series
Audience: General
Format: Hardcover
Language: English
Number Of Pages: 514
Published: 15th February 2000
Publisher: Frank J. Fabozzi Associates
Country of Publication: US
Dimensions (cm): 24.5 x 16.1  x 3.17
Edition Number: 1