Book description
US Mortgages, the largest fixed income market in the world, have recently turned into the latest distressed sector, in the midst of declining house prices, deteriorating fundamentals, and limited liquidity. Although the difficult environment is likely to continue, everyone who has been in the market through its gyrations knows that times of trouble can often spell opportunity for the smart investor. Understanding the nature of this complex structured market, and appreciating its subtleties, is a prerequisite for taking advantage of the current dislocation, while avoiding its pitfalls.
Mortgage and Real Estate Finance, edited by Stefania Perrucci, gives an in-depth overview of both the primary and secondary mortgage market. It provides a much-needed analysis of the latest innovations in the market, and serves as a crucial guide to taking advantage of the current environment.
Written from a practitioner’s perspective, but with important academic contributions, this book covers:
- History of the Market from the Great Depression till today
- Loan Origination and Underwriting
- Structures used in Securitisation and Arbitrage
- Agency Mortgage Market and CMOs
- Alt-A and Subprime Market
- Non-traditional Mortgage Products
- Real Estate Indexes and Trading
- Modelling of Prepayments and Credit
- New Resources for Mortgage Analytics
- Risk Management of Mortgage Securities
- Investing and Opportunities in Mortgages
- Rating Agencies’ Perspective
- Servicing in a Distressed Environment
- Regulatory and Policy Issues
The focus of the book is to develop understanding and insight on the relevant factors that will influence how the market will evolve in the foreseeable future, and how to use this knowledge to take advantage of the current dislocation.
Mortgage and Real Estate Finance is recommended reading for portfolio managers, analysts, risk managers, researchers and academics. It will also be beneficial to anyone interested in understanding the interaction of the many players and moving parts of the mortgage structured market.
Book details
- ISBN
- 9781906348120
- Publish date
- 3 Nov 2008
- Format
- Size
- 155mm x 235mm
Editor biography
Stefania Perrucci
Stefania Perrucci, Founder and Managing Director at New Sky Capital LLC, has more than 10 years of investment experience in fixed income, including agency and non-agency mortgages, as well as risk management. She is currently spearheading the building of a cutting-edge mortgage platform at New Sky, combining best-of breed business infrastructure with a unique and innovative investment philosophy.
Previously, she spent 8 years at Morgan Stanley, where she was a Portfolio Manager with direct responsibility for several mutual funds and billions of dollars in assets over the years. Besides investing in the full spectrum of mortgage products, she was also fully involved in research and the development of portfolio analytics. Before joining Morgan Stanley, Stefania was a Risk Management Specialist at the International Finance Corporation, part of the World Bank Group, where she focused on structured products, and addressed both the technical and cultural aspects of the risk management process.
Stefania is the author of several proprietary models to analyze mortgage value, with one patent awarded and another pending. Her current research interests span both agency and non-agency mortgages, as well as risk measurement and portfolio construction. She is a frequent speaker at industry conferences, and she has also been an active participant in several ASF/SIFMA Task Forces.
Stefania received a Ph.D. in Theoretical Physics and a M.A. from the University of Virginia, as well as a Laurea in Fisica summa cum laude from the University of Modena. In addition, she has held academic positions at universities both in the United States and Europe, where she was the recipient of more than a dozen awards in recognition of outstanding academic and teaching achievement.
Table of contents
SECTION 1: THE MORTGAGE PRIMARY AND SECONDARY MARKETS
A Brief History of the US Mortgage Market
Steven Abrahams, Citadel Investment Group
The Origination of Residential Mortgage Assets: Process and Economics
Bill Cleary, GMAC ResCap
Loan Origination: Lifting the Lid on Underwriting
Daniel S. Havel, Washington Mutual
Agency Mortgage Backed Securities
Stefania Perrucci, New Sky Capital
Non-Agency Securities Market and Credit Structuring
John Glessner, GMAC RFC
Alternative-A Residential Mortgages
John Sim, JP Morgan Chase
The Subprime Mortgage Market: History and Outlook
Chris Flanagan, JP Morgan
Nontraditional Mortgage Products and the Procrustean Bed Theory
Robert H. Shaw, Washington Mutual
The RPX Residential House Price Index
Taryn Arthur and Marios Kagarlis, Radar Logic
Real Estate Indexes and Property Derivative Markets
Brice Benaben and Jerome Saragoussi, Deutsche Bank
SECTION 2: MORTGAGE MODELLING AND ANALYTICS
Understanding Mortgage Prepayments
Anand Bhattacharya and Steve Banerjee, Countrywide Securities Corporation
Understanding Mortgage Credit
Anand Bhattacharya, Wei Wang and Jonathan Lieber, Countrywide Securities Corporation
The Old and New Frontiers of Mortgage Analytics
Dan Feshbach, LoanPerformance
SECTION 3: MORTGAGE INVESTING AND RISK MANAGEMENT
Opportunity in Mortgages: A Portfolio Manager’s Perspective
Stefania Perrucci, New Sky Capital
Investing in Non-Agency Mortgage Backed Securities
Kishore K. Yalamanchili, BlackRock
ABS CDOs in Distress: Mining for Value
Vishwanath Tirupattur, Sivan Mahadevan, Ashley Musfeldt, Andrew Sheets and Phanikiran Naraparaju , Morgan Stanley
Risk Management of Mortgage-Related Fixed-Income Securities
Aryasomayajula Sekhar and Kenneth Winston, Morgan Stanley
SECTION 4: MORTGAGE MARKET: OTHER PERSPECTIVES
Subprime Lending and Real Estate Markets
Susan M. Wachter, Wharton School; Andrey D. Pavlov, University of Pennsylvania, and Zoltan Pozsar, Moody’s Economy.com
The Modern Mortgage Crisis
Susan Kulakowski, DBRS, Inc
US RMBS Credit and Rating Performance: FitchRatings’ Perspective
Glenn Costello, FitchRatings
Issues in Servicing and Loss Mitigation
Eric Friedman, IndyMac Bank
Public Policy Issues for the Secondary Mortgage Markets
Chris Killian, Securities Industry and Financial Markets Association
Customers Who Bought This Also Bought
Customer Reviews
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