Tabla de Contenidos: “…Intro -- ENCYCLOPEDIA OF FINANCIAL MODELS -- About the Editor -- Contents -- Contributors -- Preface -- Guide to the Encyclopedia of Financial Models -- Mortgage-Backed Securities Analysis and Valuation -- Valuing Mortgage-Backed and Asset-Backed Securities -- CASH-FLOW YIELD ANALYSIS -- ZERO-VOLATILITY SPREAD -- VALUATION USING MONTE CARLO SIMULATION AND OAS ANALYSIS -- Simulating Interest Rate Paths and Cash Flows -- Calculating the Present Value of a Bond Class for a Scenario Interest Rate Path -- Option-Adjusted Spread -- Option Cost -- Simulated Average Life -- MEASURING INTEREST RISK -- Duration -- Convexity -- KEY POINTS -- NOTES -- REFERENCES -- The Active-Passive Decomposition Model for MBS -- PATH-DEPENDENCE AND PRICING PARTIAL DIFFERENTIAL EQUATION -- EXTENDED ACTIVE-PASSIVE DECOMPOSITION MODEL -- The Details -- How the Model Works Forward -- How the Model Works in Backward Induction -- Initializing the Burnout Factor -- EXTENSIONS AND NUANCES -- Computing Interest Rate Sensitivities Directly Off a Pricing Tree -- More Components, More Prepay Sources -- Residual Sources of Path-Dependence -- Modeling Prepayments Universally: Refinancing Speed as a Function of Price -- KEY POINTS -- NOTES -- REFERENCES -- Analysis of Nonagency Mortgage-Backed Securities -- FACTORS IMPACTING RETURNS FROM NONAGENCY MBS -- The Amount and Timing of Principal Return -- Deal-Specific Factors -- UNDERSTANDING THE EVOLUTION OF CREDIT PERFORMANCE WITHIN A TRANSACTION -- THE PROCESS OF ESTIMATING PRIVATE-LABEL MBS RETURNS -- Differentiating between Collateral and Tranche Losses -- The Interaction of Credit Inputs -- Evaluating Available Credit Support -- Yield and Loss Matrix Analysis -- Model-Generated Analysis -- Interpreting the Outputs -- KEY POINTS -- NOTES -- REFERENCES -- Measurement of Prepayments for Residential Mortgage-Backed Securities…”