External links Early life and education [ citation needed ]. He has been the editor of the Journal of Portfolio Management since and is on the board of directors of the BlackRock complex of closed-end funds. He was elected into the Phi Beta Kappa Society in In , Dr. Fabozzi received the James R. Vertin Award from the CFA Institute Research Foundation, it recognizes individuals whose research is "notable for its relevance and enduring value to investment professionals".
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English viii, pages : 24 cm The U. The vastness of this market has inspired a variety of financial innovations, both in the design of mortgages and in the securities that derive from them. MBSs have proven to be a useful model for other forms of asset securitizations such as securities based on auto loans and credit card receivables. Mortgage-backed securities provide many useful benefits to both issuers and investors, but they are among the most complex of securities and appear in many interesting puzzling forms.
Success in issuing, trading, and investing in MBSs requires a thorough understanding of their pricing and management of prepayment risks, and Professors Fabozzi and Modigliani have made an important contribution to that understanding in this important new book,. In this state-of-the-art treatment, Frank Fabozzi and Franco Modigliani offer the first book to systematically address the complex subject of mortgages and mortgage-backed securities without being unduly mathematical.
Beginning with the basic mortgage, the authors explain the development of the secondary mortgage market. They show how the market has been transformed from total dependence on local deposits to a market with a broad base of investors in the United States, Europe, and Japan.
The business of mortgage origination, servicing, insurance, mortgage pooling, and the historical origins of securitization are fully described. The authors take the reader through the procedure for pricing traditional bonds to the complex process of valuing a variety of mortgage-backed securities. The conventions used in this market for estimating prepayments are discussed and critically evaluated, as are the factors that affect prepayments.
Fabozzi and Modigliani provide a review of the fundamental principles used in valuing fixed-income securities, then extend them to the various frames of analysis used in determining values for MBSs.
This book fills an important need for mortgage bankers, institutional investors, and other financial professionals who need to understand the mortgage market and its complex instruments Includes bibliographical references and index Access-restricted-item.
Frank J. Fabozzi
Foundations of Financial Markets and Institutions, 4th Edition
Capital Markets: Institutions and Instruments