Investing in Mortgage-Backed and Asset-Backed Securities - Financial Modeling with R and Open Source Analytics (Wiley, 2016) by Glenn M. Schultz (Foreword by Frank J. Fabozzi)



A complete guide to investing in and managing a portfolio of mortgage- and asset-backed securities.

Mortgage- and asset-backed securities are not as complex as they might seem. In fact, all of the information, financial models, and software needed to successfully invest in and manage a portfolio of these securities are available to the investment professional through open source software. Investing in Mortgage and Asset-Backed Securities + Website shows you how to achieve this goal.

The book draws entirely on publicly available data and open source software to construct a complete analytic framework for investing in these securities. The analytic models used throughout the book either exist in the quantlib library, as an R package, or are programmed in R and incorporated into the analytic framework used.