Mortgage Valuation Models —— Embedded Options, Risk, and Uncertainty

----- 抵押估价模型-内嵌期权、风险与不确定性

ISBN: 9780199998166 出版年：2014 页码：465 Davidson, Andrew Levin, Alexander Oxford University Press

Introduction Part 1 Fundamentals of MBS Risk and Valuation Chapter 1 Dimensions of Uncertainty Chapter 2 Fundamentals of Securitization Chapter 3 Investors in Mortgage-Backed Securities Chapter 4 Valuation with Risk Factors and Risk Neutrality Chapter 5 Short-Rate Term-Structure Modeling Chapter 6 Risk-Neutral Modeling Using Forward and Futures Prices Part 2 Modeling and Valuation of Agency MBS Chapter 7 Agency Pool Prepayment Models Chapter 8 Engineering of Valuation Models without Simulations Chapter 9 Monte Carlo Methods Chapter 10 Applications of the OAS Valuation Approach to Agency MBS Chapter 11 Prepayment Risk Neutrality (the concept of prOAS) Part 3 Modeling and Valuation of Non-Agency MBS Chapter 12 Loan Level Modeling of Prepayment and Default Chapter 13 The Concept of Credit OAS Chapter 14 Empirical Modeling of Home Prices Chapter 15 Credit Analysis on a Scenario Grid and Analytical Shortcuts Part 4 Analysis of the 2008-2009 Financial Crisis Chapter 16 Lesson #1: The Role of Financing and Affordability in the Formation of Housing Prices Chapter 17 Lesson #2: The CDO Calamity and Six Degrees of Separation Chapter 18 Lesson #3: Fair versus Intrinsic Valuation under Market Duress Part 5 Building a Healthy Housing Finance System Chapter 19 How to Measure Risk, Rank Deals and Set Aside Capital Chapter 20 How to Price New Loans Chapter 21 The Future of Housing Finance and MBS Modeling References