Mortgage Valuation Models
Embedded Options, Risk, and Uncertainty
Mortgage-backed securities (MBS) are among the most complex of all financial instruments. Analysis of MBS requires blending empirical analysis of borrower behavior with the mathematical modeling of interest rates and home prices. Over the past 25 years, Andrew Davidson and Alexander Levin have been at the leading edge of MBS valuation and risk analysis.Mortgage Valuation Models: Embedded Options, Risk, and Uncertainty contains a detailed description of the sophisticated theories and advanced methods that the authors employ in real-world analyses of mortgage-backed securities. Issues such as complexity, borrower options, uncertainty, and model…
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Produktdetails
Weitere Autoren: Levin, Alexander
- ISBN: 978-0-19-936368-1
- EAN: 9780199363681
- Produktnummer: 17001341
- Verlag: Oxford University Press
- Sprache: Englisch
- Erscheinungsjahr: 2014
- Seitenangabe: 464 S.
- Plattform: PDF
- Masse: 33'107 KB
Über den Autor
Andrew Davidson is a financial innovator and leader in the development of financial research and analytics. He has worked extensively on mortgage-backed securities product development, valuation, and hedging. He is president of Andrew Davidson & Co., Inc., a New York firm specializing in the application of analytical tools to investment management, which he founded in 1992. He is co-author of the books Securitization: Structuring and Investment Analysis and Mortgage-Backed Securities: Investment Analysis & Valuation Techniques. He has also contributed to The Handbook of Mortgage-Backed Securities, Mortgage-Backed Securities: New Applications and Research, and The Journal of Real Estate Finance and Economics. He received an M.B.A. in Finance at the University of Chicago and a B.A. in Mathematics and Physics at Harvard University.Alexander Levin is Director of Financial Engineering at Andrew Davidson & Co., Inc. He has developed innovative and efficient valuation models for mortgage-backed securities, including the Active-Passive Decomposition burnout model, the concept of prepay risk-and-option-adjusted valuation, and the method of Credit Option-Adjusted Spread 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. Levin has been a guest speaker at both academic and practitioner events and has published a number of papers. Levin is a recipient of the 2014 Mortgage Banking Magazine's Technology All-Stars award. 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.
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