Financial math modeling of MBS?

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SUMMARY

This discussion centers on the financial math modeling of mortgage-backed securities (MBS), emphasizing the need for foundational texts in this area. Participants recommend consulting finance journals such as the Journal of Finance and the Journal of Portfolio Management for comprehensive resources. The conversation highlights the historical context of MBS creation in the early 1980s and the complexities involved in valuing the prepayment options associated with underlying mortgages.

PREREQUISITES
  • Understanding of mortgage-backed securities (MBS)
  • Familiarity with financial modeling techniques
  • Knowledge of prepayment risk in mortgage finance
  • Access to finance journals and academic literature
NEXT STEPS
  • Research financial modeling techniques specific to mortgage-backed securities
  • Explore the Journal of Finance for articles on MBS valuation
  • Study prepayment options and their impact on MBS pricing
  • Investigate resources published by investment banks on MBS valuation
USEFUL FOR

Finance professionals, investment analysts, and anyone involved in the valuation and modeling of mortgage-backed securities will benefit from this discussion.

naggy
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Can anyone refer me to an introductory text about math modeling of mortgage backed securities?
 
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naggy said:
Can anyone refer me to an introductory text about math modeling of mortgage backed securities?

I would look in the Finance journals e.g the Journal of Finance or the Journal of Portfolio Management.

MBS were created on Wall Street during the early 1980's and investors needed some way to value these bonds. The problem was valuing the prepayment option on the underlying mortgages.

So much was published by investment banks to explain prepayments and MBS valuation to bond portfolio managers.
 

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