Frank J. Fabozzi is editor of the Journal of Portfolio Management, Professor of Finance at EDHEC Business School, and a Senior Scientific Adviser at EDHEC-Risk Institute. A CFA holder, Professor Fabozzi is a trustee for the BlackRock closed-end fund complex. He received the CFA Institute's 'C. Stewart Sheppard Award' in 2007, as well as the 'James R. Vertin Award' in 2015. He was inducted into the Fixed Income Analysts Society Hall of Fame in November 2002. He has authored and edited numerous books in fixed income analysis and portfolio management.
PART ONE: BACKGROUND; 1 Bill Berliner, Adam Quinones and Anand K. Bhattacharya: Mortgage Loans to Mortgage-Backed Securities; 2 David M. Lukach,Thomas Knox, Eliza Kwong, and Anoop Lall: Understanding the Prospectus and Prospectus Supplement; 3 Frank J. Fabozzi: Cash Flow Mathematics For Agency Mortgage-Backed Securities; 4 Sharon Borwn-Hruska, and Georgi Tsvetkov: New Regulations for Securitizations and Asset-Backed Securities; 5 Andrew Carron, Anne Gron, and Thomas Schopflocher: Impact of the Credit Crisis on MBS Markets; PART TWO: AGENCY RMBS: BASIC PRODUCTS; 6 Frank J. Fabozzi, Glenn Schultz, and Linda Lowell: Agency Passthroughs; 7 Bill Berliner, Anand K. Bhattacharya, and Steve Banerjee: Hybrid ARMs; 8 Anand K. Bhattacharya, Bill Berliner, and Steve Banerjee: Customized Mortgage-Backed Securities; 9 Debra Chen: Single Family Rental Deals; 10 Debra Chen: Agency Credit Risk Sharing Deals; 11 Philip Obazee and Ion Dan: Agency Mortgage-Backed Securities: Performance, Valuation and Risk Premium Comparatives; PART THREE: AGENCY RMBS: MUTLI-CLASS; 12 Frank Fabozzi: Agency CMOs; 13 William Irving, Linda Lowell, and Frank J. Fabozzi: Agency Planned Amortization Class Bonds; 14 Glenn Schultz, Linda Lowell, and Frank J. Fabozzi: Accrual Bonds/Z Bonds; 15 Linda Lowell, Glenn Schultz, and Frank J. Fabozzi: Support Bonds with Schedules; 16 Airat Chanyshev, Esther Bruegger, and Erin McHugh: Floating Rate Mortgage Securities: CMOs and RMBS; 17 Cyrus Mohebbi, Raymond Yu, Marc Barakat, and Paula Steisel Goldfarb: Inverse Floating-Rate CMOs; 18 Cyrus Mohebbi, Gary Li, and Todd White: Stripped Mortgage-Backed Securities; PART FOUR: PRIVATE LABEL MBS; 19 Mark Adelson: Lessons of the Financial Crisis for Private-Label MBS; 20 Frank J. Fabozzi and Bill Berliner: Credit Enhancement; 21 Thomas Schopflocher and Jordan Milev: Covered Bonds; PART FIVE: COMMERCIAL MORTGAGE-BACKED SECURITIES; 22 Ed Daingerfield: Agency Commercial Mortgage Securities; 23 Philip O. Obazee and Duane C. Hewlett: CMBS Collateral Performance: Measures and Valuations; PART SIX: VALUATION AND PREPAYMENT MODELING; 24 Rajashri (Priya) Joshi, Tom Davis, and Bill McCoy,: Valuation of Agency Mortgage-Backed Securities; 25 Jonathon Weiner: Prepayment Modeling; 26 Steve Banerjee, Anand K. Bhattacharya and Bill Berliner: Contemporary Challenges in Loan-Level Prepayment Modeling; 27 Bill Berliner and Anand Bhattacharya: Issues and Challenges in Non-Agency Mortgage Securitizations; 28 Faten Sabry, Ignacio Franceschelli, and Drew Claxton: Residential Mortgage Defaults, Foreclosures and Modifications; PART SEVEN: PORTFOLIO MANAGEMENT TOOLS AND TECHNIQUES; 29 Eric M. Wang and Bruce D. Phelps: Managing Against the Barclays Capital MBS Index: MBS Index Prices; 30 Nikki Stefanelli and Bruce D. Phelps: MBS Index Replication with TBAs; 31 Frank J. Fabozzi: Alternative Methods for Estimating Duration for Mortgage-Backed Securities; 32 Brett R. Dunn. Kenneth B. Dunn, Frank Fabozzi, and Roberto Sella: Hedging Agency Mortgage-Related Securities; 33 William Berliner and Anand Bhattacharaya: Dollar Rolls; 34 Chu Okongwu, Tim McKenna, Oksana Kitaychik, and Giulio Renzi Ricci: Credit Derivatives and MBS; 35 Mark Fontanilla: A Framework for Determining Relative Value in the Agency MBS Market
Show moreFrank J. Fabozzi is editor of the Journal of Portfolio Management, Professor of Finance at EDHEC Business School, and a Senior Scientific Adviser at EDHEC-Risk Institute. A CFA holder, Professor Fabozzi is a trustee for the BlackRock closed-end fund complex. He received the CFA Institute's 'C. Stewart Sheppard Award' in 2007, as well as the 'James R. Vertin Award' in 2015. He was inducted into the Fixed Income Analysts Society Hall of Fame in November 2002. He has authored and edited numerous books in fixed income analysis and portfolio management.
PART ONE: BACKGROUND; 1 Bill Berliner, Adam Quinones and Anand K. Bhattacharya: Mortgage Loans to Mortgage-Backed Securities; 2 David M. Lukach,Thomas Knox, Eliza Kwong, and Anoop Lall: Understanding the Prospectus and Prospectus Supplement; 3 Frank J. Fabozzi: Cash Flow Mathematics For Agency Mortgage-Backed Securities; 4 Sharon Borwn-Hruska, and Georgi Tsvetkov: New Regulations for Securitizations and Asset-Backed Securities; 5 Andrew Carron, Anne Gron, and Thomas Schopflocher: Impact of the Credit Crisis on MBS Markets; PART TWO: AGENCY RMBS: BASIC PRODUCTS; 6 Frank J. Fabozzi, Glenn Schultz, and Linda Lowell: Agency Passthroughs; 7 Bill Berliner, Anand K. Bhattacharya, and Steve Banerjee: Hybrid ARMs; 8 Anand K. Bhattacharya, Bill Berliner, and Steve Banerjee: Customized Mortgage-Backed Securities; 9 Debra Chen: Single Family Rental Deals; 10 Debra Chen: Agency Credit Risk Sharing Deals; 11 Philip Obazee and Ion Dan: Agency Mortgage-Backed Securities: Performance, Valuation and Risk Premium Comparatives; PART THREE: AGENCY RMBS: MUTLI-CLASS; 12 Frank Fabozzi: Agency CMOs; 13 William Irving, Linda Lowell, and Frank J. Fabozzi: Agency Planned Amortization Class Bonds; 14 Glenn Schultz, Linda Lowell, and Frank J. Fabozzi: Accrual Bonds/Z Bonds; 15 Linda Lowell, Glenn Schultz, and Frank J. Fabozzi: Support Bonds with Schedules; 16 Airat Chanyshev, Esther Bruegger, and Erin McHugh: Floating Rate Mortgage Securities: CMOs and RMBS; 17 Cyrus Mohebbi, Raymond Yu, Marc Barakat, and Paula Steisel Goldfarb: Inverse Floating-Rate CMOs; 18 Cyrus Mohebbi, Gary Li, and Todd White: Stripped Mortgage-Backed Securities; PART FOUR: PRIVATE LABEL MBS; 19 Mark Adelson: Lessons of the Financial Crisis for Private-Label MBS; 20 Frank J. Fabozzi and Bill Berliner: Credit Enhancement; 21 Thomas Schopflocher and Jordan Milev: Covered Bonds; PART FIVE: COMMERCIAL MORTGAGE-BACKED SECURITIES; 22 Ed Daingerfield: Agency Commercial Mortgage Securities; 23 Philip O. Obazee and Duane C. Hewlett: CMBS Collateral Performance: Measures and Valuations; PART SIX: VALUATION AND PREPAYMENT MODELING; 24 Rajashri (Priya) Joshi, Tom Davis, and Bill McCoy,: Valuation of Agency Mortgage-Backed Securities; 25 Jonathon Weiner: Prepayment Modeling; 26 Steve Banerjee, Anand K. Bhattacharya and Bill Berliner: Contemporary Challenges in Loan-Level Prepayment Modeling; 27 Bill Berliner and Anand Bhattacharya: Issues and Challenges in Non-Agency Mortgage Securitizations; 28 Faten Sabry, Ignacio Franceschelli, and Drew Claxton: Residential Mortgage Defaults, Foreclosures and Modifications; PART SEVEN: PORTFOLIO MANAGEMENT TOOLS AND TECHNIQUES; 29 Eric M. Wang and Bruce D. Phelps: Managing Against the Barclays Capital MBS Index: MBS Index Prices; 30 Nikki Stefanelli and Bruce D. Phelps: MBS Index Replication with TBAs; 31 Frank J. Fabozzi: Alternative Methods for Estimating Duration for Mortgage-Backed Securities; 32 Brett R. Dunn. Kenneth B. Dunn, Frank Fabozzi, and Roberto Sella: Hedging Agency Mortgage-Related Securities; 33 William Berliner and Anand Bhattacharaya: Dollar Rolls; 34 Chu Okongwu, Tim McKenna, Oksana Kitaychik, and Giulio Renzi Ricci: Credit Derivatives and MBS; 35 Mark Fontanilla: A Framework for Determining Relative Value in the Agency MBS Market
Show morePART ONE: BACKGROUND
1: Bill Berliner, Adam Quinones and Anand K. Bhattacharya: Mortgage
Loans to Mortgage-Backed Securities
2: David M.Lukach,Thomas Knox, Eliza Kwong, and Anoop Lall:
Understanding the Prospectus and Prospectus Supplement for
Mortgage-Backed Securities
3: Frank J. Fabozzi: Cash Flow Mathematics For Agency
Mortgage-Backed Securities
4: Sharon Brown-Hruska, Georgi Tsvetkov, and Trevor Wagener: New
Regulations for Securitizations and Asset-Backed Securities
5: Andrew Carron, Anne Gron and Thomas Schopflocher: Impact of the
Credit Crisis on Mortgage-Backed Securities
PART TWO: AGENCY RMBS: BASIC PRODUCTS
6: Frank J. Fabozzi, Glenn Schultz, and Linda Lowell: Agency
Mortgage Passthrough Securities
7: Bill Berliner, Anand K. Bhattacharya, and Steve Banerjee: Hybrid
ARMs
8: Anand K. Bhattacharya, Bill Berliner, and Steve Banerjee:
Customized Mortgage-Backed Securities
9: Debra Chen: Single Family Rental Deals
10: Debra Chen: GSE Credit Risk Transfer Deals
11: Philip Obazee and Ion Dan: Agency Mortgage-Backed Securities:
Performance, Valuation and Risk Premium Comparatives
PART THREE: AGENCY RMBS: MUTLI-CLASS
12: Frank J. Fabozzi: Agency Collateralized Mortgage
Obligations
13: William Irving, Linda Lowell, and Frank J. Fabozzi: Agency
Planned Amortization Class Bonds
14: Glenn Schultz, Linda Lowell, and Frank J. Fabozzi: Accrual
Bonds/Z Bonds
15: Linda Lowell, Glenn Schultz, and Frank J. Fabozzi: Support
Bonds with Schedules
16: Airat Chanyshev, Esther Bruegger, and Erin McHugh: Floating
Rate Mortgage Securities
17: Cyrus Mohebbi, Raymond Yu, Marc Barakat, and Paula Steisel
Goldfarb: Inverse Floating-Rate CMOs
18: Cyrus Mohebbi, Raymond Yu, Ardeshir Shahmaei, and Paula Steisel
Goldfarb: Stripped Mortgage-Backed Securities
PART FOUR: PRIVATE LABEL MBS
19: Mark Adelson: Lessons of the Financial Crisis for Private-Label
MBS
20: Frank J. Fabozzi and Bill Berliner: Credit Enhancement
21: Thomas Schopflocher and Jordan Milev: Introduction to Covered
Bonds
PART FIVE: COMMERCIAL MORTGAGE-BACKED SECURITIES
22: Ed Daingerfield: Agency Commercial Mortgage Securities
23: Philip O. Obazee and Duane C. Hewlett: CMBS Collateral
Performance: Measures and Valuations
PART SIX: VALUATION AND PREPAYMENT MODELING
24: Rajashri (Priya) Joshi, Tom Davis, and Bill McCoy,: Valuation
of Agency Mortgage-Backed Securities
25: Jonathon Weiner: Modeling Prepayments and Defaults for MBS
Valuation
26: Steve Banerjee, Anand K. Bhattacharya and Bill Berliner:
Contemporary Challenges in Loan-Level Prepayment Modeling
27: Bill Berliner and Anand Bhattacharya: Issues and Challenges in
Non-Agency Mortgage Securitizations
28: Faten Sabry, Ignacio Franceschelli, and Drew Claxton:
Residential Mortgage Defaults, Foreclosures and Modifications
PART SEVEN: PORTFOLIO MANAGEMENT TOOLS AND TECHNIQUES
29: Eric M. Wang and Bruce D. Phelps: Managing against the Barclays
MBS Index: Prices and Returns
30: Nikki Stefanelli and Bruce D. Phelps: MBS Index Replication
with TBAs
31: Frank J. Fabozzi: Alternative Methods for Estimating Duration
for Mortgage-Backed Securities
32: Brett R. Dunn. Kenneth B. Dunn, Frank J. Fabozzi, and Roberto
Sella: Hedging Agency Mortgage-Related Securities
33: Bill Berliner and Anand Bhattacharaya: Dollar Rolls
34: Chudozie Okongwu, Timothy McKenna, Oksana Kitaychik, and Giulio
Renzi-Ricci: Credit Derivatives and Mortgage-Backed Securities
35: Mark Fontanilla: A Framework for Determining Relative Value in
the Agency MBS Market
Frank J. Fabozzi is editor of the Journal of Portfolio Management,
Professor of Finance at EDHEC Business School, and a Senior
Scientific Adviser at EDHEC-Risk Institute. A CFA holder, Professor
Fabozzi is a trustee for the BlackRock closed-end fund complex. He
received the CFA Institute's 'C. Stewart Sheppard Award' in 2007,
as well as the 'James R. Vertin Award' in 2015. He was inducted
into the Fixed Income Analysts Society Hall of Fame in November
2002. He has authored and edited numerous books in fixed income
analysis and portfolio management.
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