Investing in Mortgage-Backed and Asset-Backed Securities, + Website

<b>A complete guide to investing in and managing a portfolio of mortgage- and asset-backed securities</b> <p>Mortgage- and asset-backed securities are not as complex as they might seem. In fact, all of the information, financial models, and software needed to successfully invest in and manage a portfolio of these securities are available to the investment professional through open source software. <i>Investing in Mortgage and Asset-Backed Securities + Website</i> shows you how to achieve this goal.</p> <p>The book draws entirely on publicly available data and open source software to construct a complete analytic framework for investing in these securities. The analytic models used throughout the book either exist in the quantlib library, as an R package, or are programmed in R and incorporated into the analytic framework used.</p> <ul> <li>Examines the valuation of fixed-income securities—metrics, valuation framework, and return analysis</li> <li>Covers residential mortgage-backed securities—security cash flow, mortgage dollar roll, adjustable rate mortgages, and private label MBS</li> <li>Discusses prepayment modeling and the valuation of mortgage credit</li> <li>Presents mortgage-backed securities valuation techniques—pass-through valuation and interest rate models</li> </ul> <p>Engaging and informative, this book skillfully shows you how to build, rather than buy, models and proprietary analytical platforms that will allow you to invest in mortgage- and asset-backed securities.</p>