References for Mortgage-Backed Securities Prepayment Modeling

Summary

The document responds to a beginner’s request for mathematically oriented references on modeling mortgage-backed securities prepayments. It recommends a collected guide to mortgage-backed and asset-backed securities, assembled from research reports associated with Salomon Brothers and Smith Barney. The answer describes it as a comprehensive treatment of modeling and trading MBS, while noting that the material has not been updated for many years.

Two further references are suggested: a handbook on asset and liability management with a chapter devoted to prepayments in an MBS context, and a research compilation on asset-liability management that may help explain related topics. The answer also advises a newcomer to finance to begin with broader introductory reading if needed. These are bibliographic pointers rather than a description of a particular prepayment model, its assumptions, or empirical performance. The recommendations therefore help identify study material but do not provide a mathematical method or assess how well any reference suits a specific modeling task.

Key ideas

• The recommended securities guide compiles research on mortgage-backed and asset-backed securities.
• The guide covers both modeling and trading, but the answer notes that it is dated.
• An asset-liability management handbook is suggested for its chapter on MBS prepayments.
• Beginners may benefit from higher-level background before studying specialized modeling references.

Tags

# Book recommendation for Prepayment model of Mortgage Backed Securities


# Book recommendation for Prepayment model of Mortgage Backed Securities












Can you please suggest me some good reference for Prepayment model of Mortgage Backed Securities. I am looking for a basic book from more of mathematical point of view.

P.S.- I am new to finance.

## Answer by Helin (score 2)

https://quant.stackexchange.com/a/37750

The canonical reference is the "Salomon Smith Barney Guide to Mortgage-Backed and Asset-Backed Securities" (2001). It is actually a compilation of many research reports/papers originally published by Salomon Brothers and Smith Barney. It hasn't been updated for many years but still ranks amongst the most comprehensive treatments of modeling and trading MBS products.

## Answer by David Delgado (score 1)

https://quant.stackexchange.com/a/37743

you can try the Alexandre Adam's "Handbook of Asset and Liability Management: from models to optimal return strategies". There's a chapter dedicated to prepayments under MBS approach in there. Also, there is a whitepaper-crafted book named "One year of research on ALM" by Serge Moulin, which could by useful to understand some topics on prepayment modeling. In case, if you are new to finance, it could be convenient to start from a higher-level bibliography on this matter.

KR

David.

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