Managing MBS Portfolios
Managing a portfolio of mortgage-backed securities requires an understanding of the unique risk and return characteristics of these securities and the use of specific tools for constructing a portfolio to satisfy investment objectives. Managing MBS Portfolios explores mortgage-backed securities and describes the wide range of agency and non-agency MBS available. It also provides the analytical tools necessary to effectively manage portfolios. With Managing MBS Portfolios, you can finally start enhancing returns on your portfolio and safely control risk at the same time.
Table of Contents
Introduction
Mortgage Loans
Pass Throughs, Mortgage Strips, and Callable Pass Throughs
Credit-Sensitive Mortgage-Backed Securities
Prepayment Analysis
Collateral Analysis of Derivative Mortgage Products
Structure Analysis for Derivative Mortgage Products
Leveraging MBS Portfolios: Repos, Dollar Rolls, and Mortgage Swaps
Measuring the Interest Rate Risk of a Mortgage-Backed Security
OAS Analysis Using Monte Carlo Simulation
Component Analysis of Complex Derivative Mortgage Products
Total Return Analysis and Portfolio Construction/Optimization