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所在平台: Udemy |
课程主页: https://www.udemy.com/course/mortgage-backed-and-asset-backed-securities-mbsabs/
课程评论：没有评论
**掌握MBS和ABS：从基础到高级分析** 本课程全面深入地探讨抵押贷款支持证券（MBS）和资产支持证券（ABS），带领学员从基础概念迈入高级分析框架。课程内容专为希望深入了解证券化市场的金融专业人士、高管、交易员和学生精心设计。 **核心学习目标：** * **理解证券化：** 学习证券化如何将非流动性资产转化为可交易证券，重新分配风险并提高市场流动性。 * **资产结构：** 区分MBS和ABS，包括其结构、现金流以及抵押贷款担保债券（CMOs）和贷款担保债券（CLOs）等变体。 * **风险分析：** 掌握评估MBS和ABS中固有的提前还款、信用和利率风险。 * **高级估值技术：** 探索使用静态和随机模型、蒙特卡洛模拟以及期权调整价差（OAS）的定价策略。 * **2008年金融危机洞察：** 分析证券化在危机中的作用、吸取的教训以及危机后的监管变革。 **详细讲纲：** 1. **MBS、ABS和证券化介绍：** 证券化产品概述，历史背景和市场重要性。 2. **证券化机制：** 资产池和特殊目的载体（SPVs），分层、信用增级以及房利美（Fannie Mae）和吉利美（Ginnie Mae）等关键实体的作用。 3. **抵押贷款支持证券（MBS）：** 类型（过手MBS、CMOs和待通知TBA合同），估值和服务动态。 4. **资产支持证券（ABS）：** 结构和标的资产类别，涵盖信用卡应收款到汽车贷款等。 5. **MBS和ABS的风险分析：** 提前还款风险（建模借款人行为及其对现金流的影响），利率敏感性和凸性；信用风险（评估违约概率和严重程度）。 6. **高级提前还款和现金流建模：** 提前还款度量（如CPR、SMM和PSA），行为和计量经济学模型及其关键驱动因素和特征，当前票息率（基于SOFR互换利率推导），使用Intex等工具进行现金流分析。 7. **定价和分析：** 静态与随机定价方法，期权调整价差（OAS）以补偿未对冲风险，蒙特卡洛标准误差和收敛性，凸性度量及其对投资组合回报和风险管理的影响。 8. **2008年金融危机：** 检验证券化造成的系统性风险和市场失灵，危机后的监管变革及其对证券化实践的影响。 9. **结论和应用：** 关键概念回顾，现代MBS/ABS交易趋势和技术进步讨论。 **课程交付：** 本课程结合理论见解与实践方法，侧重于分析技能和技术熟练度的培养。学员将接触高级建模技术、计算工具和动态模拟，以深入探索MBS和ABS的复杂性。课程提供Python程序用于MBS过手现金流计算，以加深对现金流产生和提前还款速度的理解。无论您是希望增强分析工具的交易员或风险管理者，渴望掌握结构性金融复杂性的高管，还是有志于投身该领域的学生，本课程都将为您提供在竞争激烈的金融环境中脱颖而出的专业知识和资源。
Course Description: From Fundamentals to Advanced Concepts in Securitizing, Trading, and Investing in MBS and ABSThis course offers a comprehensive exploration of Mortgage-Backed (MBS) and Asset-Backed Securities (ABS), guiding participants from foundational principles to sophisticated analytical frameworks. The curriculum is meticulously designed for finance professionals, executives, traders, and students seeking deep insights into the securitization market.Key Learning Objectives:Understanding Securitization: Learn how securitization transforms illiquid assets into tradable securities, redistributes risk, and enhances market liquidity.Asset Structures: Differentiate between MBS and ABS, including their structures, cash flows, and variants like Collateralized Mortgage Obligations (CMOs) and Collateralized Loan Obligations (CLOs).Risk Analysis: Master the evaluation of prepayment, credit, and interest rate risks inherent in MBS and ABS.Advanced Valuation Techniques: Explore pricing strategies using static and stochastic models, Monte Carlo simulations, and Option-Adjusted Spreads (OAS).2008 Financial Crisis Insights: Analyze the role of securitization in the crisis, lessons learned, and post-crisis regulatory changes.Detailed Outline:1. Introduction to MBS, ABS, and SecuritizationOverview of securitized products.Historical context and market significance.2. Mechanics of SecuritizationAsset pooling and Special Purpose Vehicles (SPVs).Tranching, credit enhancements, and the role of key entities like Fannie Mae and Ginnie Mae.3. Mortgage-Backed Securities (MBS)Types: Pass-Through MBS, CMOs, and To-Be-Announced (TBA) contracts.Valuation and servicing dynamics.4. Asset-Backed Securities (ABS)Structures and underlying asset classes, from credit card receivables to auto loans.5. Risk Analysis in MBS and ABSPrepayment risk: modeling borrower behavior and its impact on cash flows.Interest rate sensitivity and convexity.Credit risk: assessing default probabilities and severity.6. Advanced Prepayment and Cashflow ModelingPrepayment measures such as CPR, SMM and PSA.Behavioral and econometric models and their key drivers and features.Current Coupon Rate which is not quoted in the market but must be derived based on SOFR swap rates.Application of tools like Intex for cash flow analysis.7. Pricing and AnalyticsStatic vs. stochastic pricing methods.Option Adjusted Spread (OAS) to compensate for unhedged risks.Monte Carlo standard errors and convergence.Convexity measure and in particular how negative convexity impacts portfolio returns and risk management.8. The 2008 Financial CrisisExamining the systemic risks and market failures caused by securitization.Regulatory changes and their impact on securitization practices.9. Conclusion and ApplicationsRecap of critical concepts.Discussion of modern trends and technological advancements in MBS/ABS trading.Course Delivery:This program integrates theoretical insights with practical methodologies, emphasizing the development of analytical skills and technical proficiency. Participants will hear about advanced modeling techniques, computational tools, and dynamic simulations to explore the intricacies of MBS and ABS. A Python programs is included for MBS pass-through cashflow calculations to deepen understanding of cashflow generations and prepayment speeds. Whether you are a trader or risk manager aiming to enhance your analytical toolkit, an executive seeking to grasp structured finance's complexities, or a student aspiring to enter the field, this course equips you with the expertise and resources to excel in a competitive financial landscape.
