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Mortgage and Real Estate Finance


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.


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. Yalamanchili1 - 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


Reviews '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


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