November 09, 2005
Real estate sentiment at Miller Samuel Soapbox
Real estate sentiment and appraisal of the New York market at
Miller Samuel's Soapbox. [*]
Posted by omor at 06:34 PM | Comments (0)
October 10, 2005
infoproc / Steve
Infoproc (Steve) is a physicist interested in economic inference.
Example: exporting risk.
Posted by omor at 08:09 PM | Comments (0)
July 25, 2005
Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities (Longstaff)
The optimal recursive refinancing problem where a borrower minimizes
his lifetime mortgage costs by repeatedly refinancing when rates
drop. Key factors affecting the optimal decision are the cost of
refinancing and the possibility that the mortgagor may have to
refinance at a premium rate because of his credit.
The optimal recursive strategy often results in prepayment being
delayed significantly relative to traditional models. Furthermore,
mortgage values can exceed par by much more than the cost of
refinancing. Applying the recursive model to an extensive sample of
mortgage-backed security prices, we find that the implied credit
spreads that match these prices closely parallel borrowers’ actual
spreads at the origination of the mortgage. These results suggest
that optimal recursive models may provide a promising alternative
to the reduced-form prepayment models widely used in practice.
Francis A. Longstaff, Anderson School of Management.
Francis A. Longstaff, "Optimal Recursive Refinancing and the Valuation
of Mortgage-Backed Securities" (December 1, 2002). Finance. Paper 15-02.
Posted by omor at 07:49 PM | Comments (0)
July 09, 2005
Subprime mortgage rate spread at origination
Effects largely captured by a single variable: spread at origination
(SATO). SATO measures the difference in the mortgage rate between the
specified loan and a constant-quality subprime mortgage rate. Assuming
that lenders price borrower risk efficiently, a higher SATO
implies a poorer-credit borrower.
Search for more .
Posted by omor at 05:18 PM | Comments (0)
June 03, 2005
Handbook of Fixed Income Securities (Fabozzi)
The Handbook of Fixed Income Securities
Edited by Frank Fabozzi
Hardcover: 1500 pages
Publisher: McGraw-Hill; 7 edition (April 1, 2005)
ISBN: 0071440992
Part 1. Background.
Background.
1. Overview of the Types and Features of Fixed Income Securities.
2. Risks Associated with Investing in Fixed Income Securities.
3. A Review of the Time Value of Money.
4. Bond Pricing and Return Measures.
5. Measuring Interest Rate Risk.
6. The Sturcture of Interest Rates.
7. Bond Market Indexes.
Part 2. Government and Private Debt Obligations.
8. U.S. Treasury and Agency Securities.
9. Municipal Bonds.
10. Private Money Market Instruments.
11. Corporate Bonds.
12. Medium-Term Notes.
13. Inflation-Indexed Bonds (Tips).
14. Floating-Rate Securities.
15. Nonconvertible Preferred Stock.
16. International Bond Markets and Instruments.
17. Brady Bonds.
18. Stable Value Investments.
Part 3. Credit Analysis.
19. Credit Analysis for Corporate Bonds.
20. Credit Considerations in Evaluating High-yield Bonds.
21. Investing in 11 and Other Distressed Companies.
22. Guidelines in the Credit Analysis of General Obligation and Revenue Municipal Bonds.
23. High-Yield Analysis of Emerging Markets Debt.
Part 4. Mortgage-Backed and Asset-Backed Securities.
24. Mortgages and Overview of Mortgage-Backed Securities.
25. Mortgage Pass-Throughs.
26. Collateralized Mortgage Obligations.
27. Nonagency CMOs.
28. Commercial Mortgage-Backed Securities.
29. Securities Backed by Automobile Loans.
30. Securities Backed by Closed-End Home Equity Loans.
31. Securities Backed by Manufactured Housing Loans.
32. Securities Backed by Credit Card Receivables.
Part 5. Fixed Income Analytics and Modeling.
33. Characteristics of and Strategies with Callable Securities.
34. Valuation of Bonds with Embedded Options.
35. Valuation of CMOs.
36. Fixed Income Risk Modeling.
37. OAS and Effective Duration.
38. Evaluation Amortizing ABS. A Primer on Static Spread.
Part 6. Portfolio Management.
39. Bond Management. Past, Current, and Future.
40. The Active Decisions in the Selection of Passive Management and Performance Bogeys.
41. Managing Indexed and Enhanced Indexed Bond Portfolios.
42. Global Corporate Bond Portfolio Management.
43. Management of a High-Yield Bond Portfolio.
44. Bond Immunization. An Asset/Liability Optimization Strategy.
45. Dedicated Bond Portfolios.
46. Managing Market Risk Proactively at Long-Term Investment Funds.
47. Improving Insurance company Portfolio Returns.
48. International Bond Investing and Portfolio Management.
49. International Fixed Income Investing. Theory and Practice.
Part 7. Equity-Linked Securities and Their Valuation.
50. Convertible Securities and Their Investment Characterics.
51. Convertible Securities and Their Valuation.
Part 8. Derivative Instruments and Their Portfolio Management Applications.
52. Introduction to Interest-Rate Futures and Options Contracts.
53. Pricing Futures and Portfolio Applications.
54. Treasury Bond Futures Mechanics and Basis Valuation.
55. The Basics of Interest-Rate Options.
56. Controlling Interest Rate Risk and Futures and Options.
57. Interest-Rate Swaps.
58. Interest-Rate Caps and Floors and Compound Options.
Posted by omor at 12:00 PM | Comments (0)
June 02, 2005
Fixed Income Securities: Tools for Today's Markets (Tuckman)
Fixed Income Securities: Tools for Today's Markets,
Second Edition by Bruce Tuckman.
1. THE RELATIVE PRICING OF FIXED INCOME SECURITIES WITH FIXED CASH FLOWS.
# Bond Prices, Discount Factors, and Arbitrage.
# Bond Prices, Spot Rates, and Forward Rates.
# Yield to Maturity.
# Generalizations and Curve Fitting.
2. MEASURES OF SENSITIVITY AND HEDGING.
# One-Factor Measures of Sensitivity.
# Measures of Price Sensitivity Based on Parallel Yield Shifts.
# Key Rate and Bucket Exposures.
# Regression-Based Hedging.
3. TERM STRUCTURE THEORY AND MODELS.
# The Science of Term Structure Models.
# The Short-Rate Process and the Shape of the Term Structure.
# The Art of Term Structure Models: Drift.
# The Art of Term Structure Models: Volatility and Distribution.
# Multi-Factor Term Structure Models.
# Trading with Term Structure Models.
4. ANALYSIS OF SELECTED SECURITIES.
# Repo.
# Forward Markets.
# Eurodollar and Fed Fund Futures.
# Interest Rate Swaps.
# Fixed Income Options.
# Note and Bond Futures.
# Mortgage-Backed Securities.
Posted by omor at 11:50 AM | Comments (0)
May 17, 2005
Inmann
Inmann, mortgage blogger, is barkerishly spammy.
Useful listing of headlines; links are to pay-per-view versions
of what can was distributed by wire services.
Posted by omor at 07:59 PM | Comments (0)
May 15, 2005
mortgage business complements auto business
auto lending + real estate lending ------- synergy
”We find the mortgage business to be very complementary with our
auto business,” said Bob Brisco, chief executive of CarsDirect.
[*]
Posted by omor at 02:18 AM | Comments (0)
April 26, 2005
Residential Mortgage Termination and Severity, De Franco
Modeling Residential Mortgage Termination and Severity
Using Loan Level Data
Three essays on modeling residential mortgages.
Chapter 1 presents and estimates a new model of loss given
default using a new dataset of prime and subprime mortgages. The
model combines option theory proxies with information on the loan
contract and the cash flow position of the borrower. The results
suggest that severity on subprime and adjustable rate mortgages are
similar to losses on fixed rate prime loans, but that investor owned
properties have significantly higher losses than owner occupied
houses. The results also suggest systemic overappraisals on refinanced
loans.
Chapter 2 uses option pricing methodology to value the prepayment and
default options associated with a residential mortgage, if house
prices are mean reverting.
Numerical solutions compare the results from the mean reverting house
price model to the results from a model where house prices follow a
geometric Brownian motion process.
The main contributions are:
(1) the value of the implicit rent (service flow) is derived as a
function of the house price process instead of assumed to be constant,
as in prior research;
(2) the mean reverting model has additional factors that may help
forecast mortgage termination; and
(3) the house price process is shown to have a significant effect on
the value of a mortgage over a wide range of parameter values.
Chapter 3 presents a modeling framework for residential mortgages that
has separate models for each loan payment status (Current, 30 Days
Late, 60 Days Late, 90+ Days Late, in Foreclosure, in REO, or Paid
Off). It is shown that several classes of traditional mortgage
prepayment and default models are restricted forms of this model, and
that the restrictions are rejected empirically.
Dissertation by Ralph DeFranco (U.C. Berkeley) 1994 [PDF]
Posted by omor at 11:01 PM | Comments (0)
April 24, 2005
Option-Theoretic Prepayment Model for Mortgages: Fabozzi , Kalotay and Yang
A new approach for modeling the prepayments of a mortgage pool
shows how to value mortgage pools and agency mortgage-backed
securities. A notion of refinancing efficiency describes the
full spectrum of refinancing behavior.
The approach has two distinguishing features:
(1) The primary focus is on understanding the market value of a
mortgage, in contrast with standard models that strive (often
unsuccessfully) to predict future cash flows, and
(2) we use two separate yield curves, one for discounting mortgage
cash flows and the other for MBS cash flows.
An Option-Theoretic Prepayment Model for Mortgages and Mortgage-
Backed Securities
To appear in International Journal of Theoretical and Applied Finance
Dec 2004, jrg 7, nr 8, december 2004, pages 949-978.
[PDF]
Posted by omor at 01:24 PM | Comments (0)
April 20, 2005
Calculated Risk
Calculated Risk offers nicely illustrated economics.
There has been a significant increase in mortgage brokers. There
has been a similar increase in residential building trades, appraisers,
home inspectors and other housing related occupations. The
impact of a housing slowdown on employment will be significant.
What will the end of the refinance boom and the housing boom
do to the mortgage insdustry ?
Posted by omor at 04:20 PM | Comments (0)
April 14, 2005
thehousingbubble
thehousingbubble, not to be confused with housingbubble track
over financed, over mortgaged real estate.
Posted by omor at 02:47 PM | Comments (0)
April 05, 2005
Housing bubble bloggers
housingbubble, moderately frequent. not to be confused with
thehousingbubble. Both track home of those who over finance,
over mortgage their real estate.
Posted by omor at 11:55 AM | Comments (0)
January 09, 2005
Mortgage Blogs
The Mortgages Blog (by weblogsinc) is frequently updated with
mortgage industry news mixes some news items and more outside
links with descriptions.
Bankrate is potpourri of mortgage and consumer finance content,
more written for consumers than lenders, and syndicated onto
many consumer sites.
Posted by omor at 04:37 PM | Comments (0)
November 20, 2004
scholar.google.com searches refereed publications
scholar.google.com searches refereed publications.
Sample search mortgage prepayment modlleing.
Posted by omor at 03:36 PM | Comments (0)