Mortgage and Real Estate Finance - Risk Books
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Mortgage and Real Estate Finance

Edited By Stefania Perrucci


'This stellar cast of experts provides in one accessible volume the background needed to understand the meltdown in subprime mortgages and the ensuing crisis in the credit markets’ -David J. Grais, Partner, Grais & Ellsworth LLP

’The US mortgage market is complex but its understanding is a must for all investment professionals. The collaborative efforts of the authors provides a comprehensive yet easy to follow treatment of the relevant topics’ - Ron D’Vari, CEO of NewOak Capital

Mortgage and Real Estate Finance covers the spectrum from basics of MBS to modeling, valuation, and risk assessment. The authors are leading experts in their fields, with long and well-regarded careers in the finance industry. The contents of this book are essential reading for anyone seeking to understand the details of the secondary mortgage market, as well as the role of mortgage securitization in the recent housing crisis and the financial markets more broadly’ - Glenn Boyd, Head, US Securitization Research, Barclays Capital

Publish date: 3 Nov 2008

Availability: In stock


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

Publish date
3 Nov 2008
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


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


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


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


Subprime Lending and Real Estate Markets

Susan M. Wachter, Wharton School; Andrey D. Pavlov, University of Pennsylvania, and Zoltan Pozsar, Moody’s

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

Customer Reviews

Average customer reviews for Mortgage and Real Estate Finance


Mortgage is indeed an important part of real estate finance. But it is not the whole of the discipline of real estate finance. It is better to include more issues especially the derivatives.
Review by Gu , 14/07/2011

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