Andrew Davidson is a financial innovator and leader in the development of financial research and analytics. He has worked extensively on mortgage-backed securities product development, valuation, and hedging. He is president of Andrew Davidson & Co., Inc., a New York firm specializing in the application of analytical tools to investment management, which he founded in 1992. He is co-author of the book Securitization: Structuring and Investment Analysis and Mortgage-Backed Securities, Investment Analysis & Valuation Techniques and has written numerous articles that have appeared in The Handbook of Mortgage-Backed Securities, Mortgage-Backed Securities: New Applications and Research and The Journal of Real Estate Finance and Economics. He received an MBA in Finance at the University of Chicago and a BA in Mathematics and Physics at Harvard.Alex Levin is Director of Financial Engineering at Andrew Davidson & Co., Inc. He has developed innovative and efficient valuation models for MBS, including the Active-Passive Decomposition burnout model, the concept of prepay risk-and-option-adjusted valuation, and the method of Credit OAS and non-Monte Carlo shortcuts. His recent work focuses on the valuation of instruments exposed to credit risk, home-price modeling, and projects related to the MBS crisis. Alex has been a guest speaker at both academic and practitioner events and has published a number of papers. He holds an M.S. in Applied Mathematics from Naval Engineering Institute, Leningrad, and a Ph.D. in Control and Dynamic Systems from Leningrad State University.

• Introduction ; Part 1 Fundamentals of MBS Risk and Valuation ; Chapter 1 Dimensions of Uncertainty ; Chapter 2 Fundamentals of Securitization ; Chapter 3 Investors in Mortgage-Backed Securities ; Chapter 4 Valuation with Risk Factors and Risk Neutrality ; Chapter 5 Short-Rate Term-Structure Modeling ; Chapter 6 Risk-Neutral Modeling Using Forward and Futures Prices ; Part 2 Modeling and Valuation of Agency MBS ; Chapter 7 Agency Pool Prepayment Models ; Chapter 8 Engineering of Valuation Models without Simulations ; Chapter 9 Monte Carlo Methods ; Chapter 10 Applications of the OAS Valuation Approach to Agency MBS ; Chapter 11 Prepayment Risk Neutrality (the concept of prOAS) ; Part 3 Modeling and Valuation of Non-Agency MBS ; Chapter 12 Loan Level Modeling of Prepayment and Default ; Chapter 13 The Concept of Credit OAS ; Chapter 14 Empirical Modeling of Home Prices ; Chapter 15 Credit Analysis on a Scenario Grid and Analytical Shortcuts ; Part 4 Analysis of the 2008-2009 Financial Crisis ; Chapter 16 Lesson #1: The Role of Financing and Affordability in the Formation of Housing Prices ; Chapter 17 Lesson #2: The CDO Calamity and Six Degrees of Separation ; Chapter 18 Lesson #3: Fair versus Intrinsic Valuation under Market Duress ; Part 5 Building a Healthy Housing Finance System ; Chapter 19 How to Measure Risk, Rank Deals and Set Aside Capital ; Chapter 20 How to Price New Loans ; Chapter 21 The Future of Housing Finance and MBS Modeling ; References

Mortgage Valuation Models delivers much more than its title suggests. It explores the key aspects of the mortgage market that ultimately were a trigger of the financial crisis. It offers potential policy solutions to remedy deficiencies in the current market structures. Most of all, though, alongside its very rigorous treatment of the technical details of mortgage models, it provides frequent illustrations and guidance that will help readers to avoid having unrealistically high expectations of their mortgage models.

Andrew Davidson is a financial innovator and leader in the development of financial research and analytics. He has worked extensively on mortgage-backed securities product development, valuation, and hedging. He is president of Andrew Davidson & Co., Inc., a New York firm specializing in the application of analytical tools to investment management, which he founded in 1992. He is co-author of the book Securitization: Structuring and Investment Analysis and Mortgage-Backed Securities, Investment Analysis & Valuation Techniques and has written numerous articles that have appeared in The Handbook of Mortgage-Backed Securities, Mortgage-Backed Securities: New Applications and Research and The Journal of Real Estate Finance and Economics. He received an MBA in Finance at the University of Chicago and a BA in Mathematics and Physics at Harvard.Alex Levin is Director of Financial Engineering at Andrew Davidson & Co., Inc. He has developed innovative and efficient valuation models for MBS, including the Active-Passive Decomposition burnout model, the concept of prepay risk-and-option-adjusted valuation, and the method of Credit OAS and non-Monte Carlo shortcuts. His recent work focuses on the valuation of instruments exposed to credit risk, home-price modeling, and projects related to the MBS crisis. Alex has been a guest speaker at both academic and practitioner events and has published a number of papers. He holds an M.S. in Applied Mathematics from Naval Engineering Institute, Leningrad, and a Ph.D. in Control and Dynamic Systems from Leningrad State University.

• Introduction ; Part 1 Fundamentals of MBS Risk and Valuation ; Chapter 1 Dimensions of Uncertainty ; Chapter 2 Fundamentals of Securitization ; Chapter 3 Investors in Mortgage-Backed Securities ; Chapter 4 Valuation with Risk Factors and Risk Neutrality ; Chapter 5 Short-Rate Term-Structure Modeling ; Chapter 6 Risk-Neutral Modeling Using Forward and Futures Prices ; Part 2 Modeling and Valuation of Agency MBS ; Chapter 7 Agency Pool Prepayment Models ; Chapter 8 Engineering of Valuation Models without Simulations ; Chapter 9 Monte Carlo Methods ; Chapter 10 Applications of the OAS Valuation Approach to Agency MBS ; Chapter 11 Prepayment Risk Neutrality (the concept of prOAS) ; Part 3 Modeling and Valuation of Non-Agency MBS ; Chapter 12 Loan Level Modeling of Prepayment and Default ; Chapter 13 The Concept of Credit OAS ; Chapter 14 Empirical Modeling of Home Prices ; Chapter 15 Credit Analysis on a Scenario Grid and Analytical Shortcuts ; Part 4 Analysis of the 2008-2009 Financial Crisis ; Chapter 16 Lesson #1: The Role of Financing and Affordability in the Formation of Housing Prices ; Chapter 17 Lesson #2: The CDO Calamity and Six Degrees of Separation ; Chapter 18 Lesson #3: Fair versus Intrinsic Valuation under Market Duress ; Part 5 Building a Healthy Housing Finance System ; Chapter 19 How to Measure Risk, Rank Deals and Set Aside Capital ; Chapter 20 How to Price New Loans ; Chapter 21 The Future of Housing Finance and MBS Modeling ; References

Mortgage Valuation Models delivers much more than its title suggests. It explores the key aspects of the mortgage market that ultimately were a trigger of the financial crisis. It offers potential policy solutions to remedy deficiencies in the current market structures. Most of all, though, alongside its very rigorous treatment of the technical details of mortgage models, it provides frequent illustrations and guidance that will help readers to avoid having unrealistically high expectations of their mortgage models.

Andrew Davidson is a financial innovator and leader in the development of financial research and analytics. He has worked extensively on mortgage-backed securities product development, valuation, and hedging. He is president of Andrew Davidson & Co., Inc., a New York firm specializing in the application of analytical tools to investment management, which he founded in 1992. He is co-author of the book Securitization: Structuring and Investment Analysis and Mortgage-Backed Securities, Investment Analysis & Valuation Techniques and has written numerous articles that have appeared in The Handbook of Mortgage-Backed Securities, Mortgage-Backed Securities: New Applications and Research and The Journal of Real Estate Finance and Economics. He received an MBA in Finance at the University of Chicago and a BA in Mathematics and Physics at Harvard.Alex Levin is Director of Financial Engineering at Andrew Davidson & Co., Inc. He has developed innovative and efficient valuation models for MBS, including the Active-Passive Decomposition burnout model, the concept of prepay risk-and-option-adjusted valuation, and the method of Credit OAS and non-Monte Carlo shortcuts. His recent work focuses on the valuation of instruments exposed to credit risk, home-price modeling, and projects related to the MBS crisis. Alex has been a guest speaker at both academic and practitioner events and has published a number of papers. He holds an M.S. in Applied Mathematics from Naval Engineering Institute, Leningrad, and a Ph.D. in Control and Dynamic Systems from Leningrad State University.

• Introduction ; Part 1 Fundamentals of MBS Risk and Valuation ; Chapter 1 Dimensions of Uncertainty ; Chapter 2 Fundamentals of Securitization ; Chapter 3 Investors in Mortgage-Backed Securities ; Chapter 4 Valuation with Risk Factors and Risk Neutrality ; Chapter 5 Short-Rate Term-Structure Modeling ; Chapter 6 Risk-Neutral Modeling Using Forward and Futures Prices ; Part 2 Modeling and Valuation of Agency MBS ; Chapter 7 Agency Pool Prepayment Models ; Chapter 8 Engineering of Valuation Models without Simulations ; Chapter 9 Monte Carlo Methods ; Chapter 10 Applications of the OAS Valuation Approach to Agency MBS ; Chapter 11 Prepayment Risk Neutrality (the concept of prOAS) ; Part 3 Modeling and Valuation of Non-Agency MBS ; Chapter 12 Loan Level Modeling of Prepayment and Default ; Chapter 13 The Concept of Credit OAS ; Chapter 14 Empirical Modeling of Home Prices ; Chapter 15 Credit Analysis on a Scenario Grid and Analytical Shortcuts ; Part 4 Analysis of the 2008-2009 Financial Crisis ; Chapter 16 Lesson #1: The Role of Financing and Affordability in the Formation of Housing Prices ; Chapter 17 Lesson #2: The CDO Calamity and Six Degrees of Separation ; Chapter 18 Lesson #3: Fair versus Intrinsic Valuation under Market Duress ; Part 5 Building a Healthy Housing Finance System ; Chapter 19 How to Measure Risk, Rank Deals and Set Aside Capital ; Chapter 20 How to Price New Loans ; Chapter 21 The Future of Housing Finance and MBS Modeling ; References

Mortgage Valuation Models delivers much more than its title suggests. It explores the key aspects of the mortgage market that ultimately were a trigger of the financial crisis. It offers potential policy solutions to remedy deficiencies in the current market structures. Most of all, though, alongside its very rigorous treatment of the technical details of mortgage models, it provides frequent illustrations and guidance that will help readers to avoid having unrealistically high expectations of their mortgage models.