Mortgage Valuation Models: Embedded Options, Risk, and Uncertainty
Davidson, Andrew/ Levin, Alexander
Language: English
Published by Oxford Univ Pr, 2014
Series: Book 21 of 26 - Financial Management Association Survey and Synthesis
- Hardcover
- New
Seller: Revaluation Books, Exeter, United KingdomRevaluation Books
AbeBooks seller since January 6, 2003
Condition: New
£ 195.14
Quantity: 1 available
Add to basketItem description from seller
1st edition. 464 pages. 9.75x6.75x1.25 inches. In Stock.
Seller Inventory # zk0199998167
- Title
- Mortgage Valuation Models: Embedded Options, Risk, and Uncertainty
- Author
- Davidson, Andrew/ Levin, Alexander
- Publisher
- Oxford Univ Pr
- Publication year
- 2014
- Condition
- Brand New
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 0199998167
- ISBN 13
- 9780199998166
- Item weight
- 0.8 kilograms
- Series
- Book 21 of 26: Financial Management Association Survey and Synthesis
The book describes methods for modeling prepayments and defaults of borrowers. It explores closed form, backward induction and Monte Carlo valuation using the Option-Adjusted-Spread (OAS) approach, explains the origin of OAS and its relationship to model uncertainty. 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.
The coverage spans the range of mortgage products from loans, TBA (to be announced) pass-through securities to subordinate tranches of subprime-mortgage securitizations and describes valuation methods for both agency and non-agency MBS including pricing new loans; Davidson and Levin put forth new approaches to prudent risk measurement, ranking, and decomposition that can help guide traders and risk managers. It reveals quantitative causes of the 2007-09 financial crisis and provides insights into the future of the US housing finance system and mortgage modeling.
Despite the advances in mortgage modeling and valuation, this remains an ever-evolving field. Mortgage Valuation Models will serve as a foundation for the future development of models for mortgage-backed securities.
"Synopsis" may belong to another edition of this title.
About the Author
Alex Levin is Director of Financial Engineering at Andrew Davidson & Co., Inc. He has developed innovative and efficient valuation models for MBS, including the Active-Passive Decomposition burnout model, the concept of prepay risk-and-option-adjusted valuation, and the method of Credit OAS and non-Monte Carlo shortcuts. His recent work focuses on the valuation of instruments exposed to credit risk, home-price modeling, and projects related to the MBS crisis. Alex has been a guest speaker at both academic and practitioner events and has published a number of papers. 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.
"About the title" may belong to another edition of this title.
Revaluation Books
Exeter, United Kingdom
AbeBooks seller since January 6, 2003
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Edward Bowditch Ltd
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Exeter, United Kingdom EX3 0PP
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