Advances in the Valuation and Management of Mortga –Backed Securities

Contributing Authors.
<br />
<br /> 1. Decomposition of Mortgage Spreads (A. Bhattacharya and I. Koren).
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<br /> 2. Replicating the MBS Index Risk and Return Characteristics Using Proxy Portfolios (A. Majidi).
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<br /> 3. Market Neutral Trading Strategies (G. Hall).
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<br /> 4. Total Return Analysis in CMO Portfolio Management (D. Canuel and C. Melchreit).
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<br /> 5. Non–Traded Factors in MBS Portfolio Management (A. Levin and D. Daras).
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<br /> 6. Valuation of CMOs (F. Fabozzi, et al.).
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<br /> 7. Valuation and Portfolio Risk Management with Mortgage–Backed Securities (S. Zenios).
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<br /> 8. The Valuation of PAC Bonds Without Complex Models (C. Asness and M. Smirlock).
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<br /> 9. A Portfolio Manager′s Perspective of Inverses and Inverse IOs (W. Leach).
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<br /> 10. Forward Rates and CMO Portfolio Management (C. Asness and J. Beinner).
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<br /> 11. A New Approach to Option–Adjusted Valuation of MBS on a Multi–Scenario Grid (A. Levin).
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<br /> 12. Arbitrage–Free MBS Canonical Decomposition (T. Ho and M. Chen).
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<br /> 13. A Practical Guide to Relative Value for Mortgages (W. Phoa).
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<br /> 14. Hedging Mortgage Passthrough Securities (K. Dunn and R. Sella).
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<br /> 15. An Integrated Approach to Mortgage Hedging and Relative Value Analysis (L. Goodman and J. Ho).
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<br /> 16. Yield Curve Risk of CMO Bonds (M. Schumacher, et al.).
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<br /> 17. Valuation and Analysis of ARMs (S. Mansukhani).
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<br /> 18. Understanding and Valuing Callable REMICs (B. Lancaster, et al.).
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<br /> Index.