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Author : Joe P. Mattey
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.:/5 (318 download)
Download or read book Housing Prices and the (in)stability of Mortgage Prepayment Models written by Joe P. Mattey and published by . This book was released on 1998 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Joe Mattey
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (11 download)
Download or read book Housing Prices and the (ins)stability of Mortgage Prepayment Models written by Joe Mattey and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The Federal Reserve Bank of San Francisco presents the full text of an article entitled "Housing Prices and the (In)stability of Mortgage Prepayment Models: Evidence from California," by Joe Mattey and Nancy Wallace. The article discusses three sources of risk that lead to observed mortgage payment terminations: interest-rated related refinancing, default, and moving.
Author : Joe Mattey
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Housing Price Cycles and Prepayment Rates of U.S. Mortgage Pools written by Joe Mattey and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical mortgage prepayment models generally have trouble explaining differences in mortgage prepayment speeds among pools with similar interest rates on the underlying mortgages. In this paper, we model some of the sources of termination heterogeneity across mortgage pools, particularly the role of regional variations in housing prices in generating atypical prepayment speeds. Using a sample of Freddie Mac mortgage pools from 1991-1998, we compare two classes of empirical models: a rational option pricing model using a backward solving pricing algorithm and an empirical hazard model. In both empirical estimation strategies, we find evidence that differences in house price dynamics across regions are an important source of between-pool heterogeneity. This finding is then shown to be robust to alternative ways of parameterizing pool heterogeneity in mortgage termination models.
Author : Joe P. Mattey
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (318 download)
Download or read book Housing Price Cycles and Prepayment Rates of U.S. Mortgage Pools written by Joe P. Mattey and published by . This book was released on 1999 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Joe P. Mattey
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (642 download)
Download or read book Housing Prices and the (in)stability of Mortage Prepayment Models written by Joe P. Mattey and published by . This book was released on 1998 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Oonagh McDonald
Publisher : A&C Black
ISBN 13 : 1780935234
Total Pages : 494 pages
Book Rating : 4.7/5 (89 download)
Download or read book Fannie Mae and Freddie Mac written by Oonagh McDonald and published by A&C Black. This book was released on 2013-07-18 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book demonstrates how politicians and federal agencies dominated Fannie Mae and Freddie Mac and took just thirteen years to wreck the American dream of home ownership.
Author : Glenn M. Schultz
Publisher : John Wiley & Sons
ISBN 13 : 1119221501
Total Pages : 437 pages
Book Rating : 4.1/5 (192 download)
Download or read book Investing in Mortgage-Backed and Asset-Backed Securities written by Glenn M. Schultz and published by John Wiley & Sons. This book was released on 2016-01-19 with total page 437 pages. Available in PDF, EPUB and Kindle. Book excerpt: A complete guide to investing in and managing a portfolio of mortgage- and asset-backed securities 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. Investing in Mortgage and Asset-Backed Securities + Website shows you how to achieve this goal. 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. Examines the valuation of fixed-income securities—metrics, valuation framework, and return analysis Covers residential mortgage-backed securities—security cash flow, mortgage dollar roll, adjustable rate mortgages, and private label MBS Discusses prepayment modeling and the valuation of mortgage credit Presents mortgage-backed securities valuation techniques—pass-through valuation and interest rate models 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.
Author :
Publisher :
ISBN 13 :
Total Pages : 286 pages
Book Rating : 4.3/5 (555 download)
Download or read book The Fed in Print written by and published by . This book was released on 1997 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Housing Price Cycles and Prepayment Rates of U.S. Mortgage Pools written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The Federal Reserve Bank of San Francisco presents the full text of an article entitled "Housing Price Cycles and Prepayment Rates of U.S. Mortgage Pools," by Joe Mattey and Nancy Wallace. The article discusses a model for sources of termination heterogeneity across mortgage pools, particularly the role of regional variations in housing prices in generating typical prepayment speeds.
Author : Frank J. Fabozzi
Publisher : Oxford University Press
ISBN 13 : 0191088773
Total Pages : 831 pages
Book Rating : 4.1/5 (91 download)
Download or read book The Handbook of Mortgage-Backed Securities, 7th Edition written by Frank J. Fabozzi and published by Oxford University Press. This book was released on 2016-08-11 with total page 831 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edition of The Handbook of Mortgage-Backed Securities, the first revision following the subprime mortgage crisis, is designed to provide not only the fundamentals of these securities and the investment characteristics that make them attractive to a broad range of investors, but also extensive coverage on the state-of-the-art strategies for capitalizing on the opportunities in this market. The book is intended for both the individual investor and the professional manager. The volume includes contributions from a wide range of experts most of whom have been actively involved in the evolution of the mortgage-backed securities market.
Author : Susan J. Smith
Publisher : John Wiley & Sons
ISBN 13 : 9781444317985
Total Pages : 648 pages
Book Rating : 4.3/5 (179 download)
Download or read book The Blackwell Companion to the Economics of Housing written by Susan J. Smith and published by John Wiley & Sons. This book was released on 2010-01-22 with total page 648 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Blackwell Companion to the Economics of Housing willhelp students and professionals alike to explore key elements ofthe housing economy: home prices, housing wealth, mortgage debt,and financial risk. Features 24 original essays, including an editorialintroduction and three section overviews Includes 39 world-class authors from a mix of educational andfinancial organizations in the UK, Europe, Australia, and NorthAmerica Broadly-based, scholarly, and accessible, serving students andprofessionals who wish to understand how today’s housingeconomy works Profiles the role and relevance of housing wealth; themismanagement of mortgage debt; and the pitfalls and potential ofhedging housing risk Key topics include: the housing price bubble and crash; thesubprime mortgage crisis in the US and its aftermath; the linksbetween housing wealth, the macroeconomy, and the welfare ofhome-occupiers; the mitigation of credit and housing investmentrisks Specific case studies help to illustrate concepts, along withnew data sets and analyses to illustrate empirical points
Author : Timothy Jones
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Housing Market Dynamics written by Timothy Jones and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The mortgage market collapse which followed the burst of the housing bubble in 2007 led to unprecedented levels of mortgage default, mortgage foreclosure, and housing vacancies. The dramatic increase in mortgage terminations prompted extensive discussions among academics, industry practitioners, regulators, and policymakers. These discussions included such issues as the underlying causes of the mortgage market collapse and the impact of declining house prices on mortgage default and foreclosure. This special issue results from the 2013 FSU-UF Critical Issues Symposium entitled "Housing Market Issues: Initiatives, Policies and the Economy" where the impact of the recent market collapse was examined on topics such as the negative spillover effect of foreclosure, the determinants of mortgage default and prepayment, disequilibrium models of the housing market, and the growth of the reverse mortgage market. This introductory paper serves to set the stage by relating the papers in this special issue to the previous literature. It provides both a clear picture of the state of knowledge in these critical areas and the significant contributions of these recent studies.
Author : Chris Downing
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.E/5 ( download)
Download or read book An Empirical Test of a Two-factor Mortgage Valuation Model written by Chris Downing and published by . This book was released on 2003 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : BlackRock, Inc.
Publisher : John Wiley & Sons
ISBN 13 : 111988487X
Total Pages : 455 pages
Book Rating : 4.1/5 (198 download)
Download or read book BlackRock's Guide to Fixed-Income Risk Management written by BlackRock, Inc. and published by John Wiley & Sons. This book was released on 2023-10-31 with total page 455 pages. Available in PDF, EPUB and Kindle. Book excerpt: An irreplaceable roadmap to modern risk management from renowned experts on the subject Edited by a co-founder and the former Chief Risk Officer of BlackRock—the world’s largest asset manager—BlackRock’s Guide to Fixed-Income Risk Management delivers an insightful blueprint to the implementation of a comprehensive investment risk management framework for buy-side firms. Leveraging the unprecedented academic and professional experience of current and former senior leaders in BlackRock’s risk and portfolio management functions, as well as trading, financial modeling, and analytics experts, the book serves a practitioner’s guide to investment risk management, leveraging BlackRock’s risk management framework. The included chapters combine to provide chief investment officers, risk managers, portfolio managers, researchers, and compliance professionals an approach to investment risk management well-suited for today's and tomorrow's markets. The book also presents: Critical elements that underpin a strong risk management program and culture Fixed income risk management concepts and theories that can be applied to other asset classes Lessons learned from financial crises and the COVID-19 Pandemic Ideal for undergraduate students and students and scholars of business, finance, and risk management, BlackRock’s Guide to Fixed-Income Risk Management is a one-of-a-kind combination of modern theory with proven, practical risk management strategies.
Author : Yueh-Yun C. O'Brien
Publisher :
ISBN 13 :
Total Pages : 70 pages
Book Rating : 4.E/5 ( download)
Download or read book The Effects of Mortgage Prepayments on M2 written by Yueh-Yun C. O'Brien and published by . This book was released on 2005 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mortgage prepayments can contribute significantly to fluctuations in M2 growth rates. These mortgage prepayment effects are primarily driven by certain rules of mortgage-backed-security (MBS) insurers that require mortgage servicers to hold in M2-type deposits the prepayment proceeds due to MBS investors. This paper provides a methodology for estimating prepayment effects on M2. The effects are estimated separately for refinancing and home sales. The results indicate that excluding the mortgage prepayment effects from M2 produces smoother monthly growth rates. The stability of the relationship between money and GDP as measured by M2 velocity is also increased. Refinancing prepayments account for most of the prepayment effects on M2.
Author : Eugene N. White
Publisher : University of Chicago Press
ISBN 13 : 022609328X
Total Pages : 408 pages
Book Rating : 4.2/5 (26 download)
Download or read book Housing and Mortgage Markets in Historical Perspective written by Eugene N. White and published by University of Chicago Press. This book was released on 2014-10-17 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt: The central role of the housing market in the recent recession raised a series of questions about similar episodes throughout economic history. Were the underlying causes of housing and mortgage crises the same in earlier episodes? Has the onset and spread of crises changed over time? How have previous policy interventions either damaged or improved long-run market performance and stability? This volume begins to answer these questions, providing a much-needed context for understanding recent events by examining how historical housing and mortgage markets worked—and how they sometimes failed. Renowned economic historians Eugene N. White, Kenneth Snowden, and Price Fishback survey the foundational research on housing crises, comparing that of the 1930s to that of the early 2000s in order to authoritatively identify what contributed to each crisis. Later chapters explore notable historical experiences with mortgage securitization and the role that federal policy played in the surge in home ownership between 1940 and 1960. By providing a broad historical overview of housing and mortgage markets, the volume offers valuable new insights to inform future policy debates.
Author : David Leece
Publisher : John Wiley & Sons
ISBN 13 : 0470693231
Total Pages : 272 pages
Book Rating : 4.4/5 (76 download)
Download or read book Economics of the Mortgage Market written by David Leece and published by John Wiley & Sons. This book was released on 2008-04-15 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: The analysis of the mortgage market is a specialised field but examines a financial market with extremely wide-ranging implications; it affects the stability of the whole economy. The key thing about this analysis is the increasing importance of the secondary mortgage market – which in the US is now several times larger than the market for government debt. The UK secondary mortgage market is also growing and the book will provide a timely resource to those active and interested in this important financial market. The 1990s saw an enormous growth of mortgage market analysis as an academic subject and there is a vast literature scattered among the key real estate journals. There is now a great need to not only bring this very complex subject area together, but also to abstract the main issues and to render them intelligible. The book will provide an organised research resource and also inform and motivate further research into the microeconomics of mortgage markets.
