Quantitative Perspectives

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Quantitative Perspectives (QP) is an independent commentary in which Andrew Davidson & Co., Inc. examines topical issues related to the mortgage and derivatives markets. These publications provide an in-depth look into our models.

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Date:
05-02-2023
Category:
Prepayment Models
Author:
Joni Baker
Daniel Swanson
Title: How To Use AD&Co's Deep Discount And Super Premium S-Curve Tuning
Date:
05-27-2022
Category:
Valuation
Author:
Alex Levin
Title: Financial Engineering Methods For Conforming-Loan Valuation
Date:
06-14-2021
Category:
Servicing
Author:
Alex Levin
Title: What is Inside MSRKinetics?
Date:
05-10-2021
Category:
Prepayment Models
Author:
Chris Widman
Title: Auto LoanDynamics Model
Date:
08-31-2020
Category:
Unemployment Modeling
Author:
Alex Levin
Title: On Modeling Unemployment and Its Relationship to Interest Rates and Home Prices
Date:
02-21-2017
Category:
Credit
Author:
Andrew Wilcox
Title: Multifamily LoanDynamics Model
Date:
10-03-2016
Category:
Valuation
Author:
Andrew Davidson
Alex Levin
Harry Lijia Qin
Title: Risk Neutralization of Agency Credit Model, Relative Value and Implied G-Fee
Date:
11-01-2014
Category:
Valuation
Author:
Allison Ying
Title: A Post-Crisis Review of Private-Label Mortgage-Backed Securities Performance on Losses and Valuation
Date:
06-13-2014
Category:
Validation
Author:
Eknath Belbase
Title: Validation of Primary-Secondary Spread Model
Date:
06-13-2014
Category:
Validation
Author:
Eknath Belbase
Title: Validation of Agency LDM: Part 2 – CtoD and DtoT
Date:
05-06-2014
Category:
Validation
Author:
Eknath Belbase
Title: LoanKinetics Validation
Date:
04-30-2014
Category:
Validation
Author:
Eknath Belbase
Sanjeeban Chatterjee
Title: Model Validation: Practical Lessons
Date:
04-04-2014
Category:
Validation
Author:
Eknath Belbase
Title: Validation of Agency LDM
Date:
05-25-2013
Category:
Prepayment Models
Author:
Eknath Belbase
Title: Revisiting Mortgage Current Coupon: How is the Regression Approach Doing?
Date:
10-09-2012
Category:
Valuation
Author:
Alex Levin
Title: RECOMMENDED TERM STRUCTURE MODEL SELECTION IN A LOW-RATE MARKET: “Conscientious Choice” Ten Years Later
Date:
09-30-2012
Category:
Validation
Author:
Eknath Belbase
Title: Validation of Agency Prepay Models Version 5.2h
Date:
09-30-2012
Category:
Credit
Author:
Anne Ching
Title: CREDITPROFILE CATEGORY: A Brave New Rating Score
Date:
06-13-2012
Category:
Validation
Author:
Eknath Belbase
Title: MODEL VALIDATION IDEAS: A Case Study with AD&Co’s LoanDynamics™ Model
Date:
06-13-2012
Category:
HPI Modeling
Author:
Andrew Davidson
Alex Levin
Title: MEASURING HOUSING AFFORDABILITY AND HOME PRICE EQUILIBRIUM: Revisiting the Housing Bubble & Bust and HPI Modeling
Date:
12-01-2009
Category:
Credit
Author:
Sanjeeban Chatterjee
Title: Current-to-Delinquent Model for LoanDynamics
Date:
10-21-2009
Category:
HPI Modeling
Author:
Alex Levin
Title: Home Price Derivatives and Modeling
Date:
10-01-2008
Category:
Credit
Author:
Anne Ching
Title: LoanDynamics™: AD&Co’s Approach to Modeling Credit Risk
Date:
05-01-2006
Category:
Prepayment Models
Author:
Dan Szakallas
Title: Fixed-Rate Agency MBS Prepayments & Model Enhancements
Date:
09-01-2005
Category:
Prepayment Models
Author:
Sanjeeban Chatterjee
Title: Fixed-Rate Home Equity Loan Prepayment Model
Date:
06-17-2004
Category:
Valuation
Author:
Alex Levin
Title: Divide & Conquer: Exploring New OAS Horizons, Part III: A prOAS Valuation model with Refinancing & Turnover Risk
Date:
03-15-2004
Category:
Valuation
Author:
Alex Levin
Title: Divide & Conquer: Exploring New OAS Horizons, Part II A Prepay Risk-and-Option-Adjusted Valuation Concept
Date:
10-22-2003
Category:
Valuation
Author:
Alex Levin
Title: Divide & Conquer: Exploring New OAS Horizons, Part I Active-Passive Decomposition
Date:
09-26-2002
Category:
Valuation
Author:
Alex Levin
Title: Interest Rate Modeling: A Conscientious Choice
Date:
06-27-2002
Category:
Prepayment Models
Author:
Howard Stern
Title: Residential Jumbo Loan Level Prepayment Model
Date:
03-27-2002
Category:
Prepayment Models
Author:
Eknath Belbase
Dan Szakallas
Title: Hybrid ARM Prepayment Model
Date:
07-31-2001
Category:
Prepayment Models
Author:
Eknath Belbase
Title: Home Price & Prepayments: The New Andrew Davidson & Co., Inc. Prepayment Model
Date:
04-17-2001
Category:
Prepayment Models
Author:
Eknath Belbase
Dan Szakallas
Title: The Relationship between the Yield Curve & Mortgage Current Coupon
Date:
01-24-2001
Category:
Prepayment Models
Author:
Eknath Belbase
Title: An Implied Prepayment Model for MBS
Date:
07-25-2000
Category:
Adjustable-Rate Mortgages
Author:
Howard Stern
Title: ARM Home Equity Loan Prepayment Model
Date:
06-15-2000
Category:
Valuation
Author:
Eknath Belbase
Title: A Lattice Implemetation of the Black-Karasinski Rate Process
Date:
05-01-1999
Category:
Prepayment Models
Author:
Howard Stern
Title: Home Equity Loan Prepayment Model
Date:
03-01-1999
Category:
Prepayment Models
Author:
Eknath Belbase
Title: Fixed Rate Mortgage Prepayment Model
Date:
02-01-1999
Category:
Adjustable-Rate Mortgages
Prepayment Models
Author:
Sanjeeban Chatterjee
Title: The ARM Prepayment Model
Date:
01-01-1999
Category:
General Commentary
Author:
Andrew Davidson
Title: Markets Aren't Perfect, Either
Date:
07-29-1998
Category:
Option-Adjusted Spread
Valuation
Author:
AD&Co Staff
Title: Value and Risk Metrics in Quantitative Analysis
Date:
07-22-1998
Category:
Real Estate Investment Trust
Author:
AD&Co Staff
Title: Returns on Mutual Funds, Mortgage REITs
Date:
07-15-1998
Category:
Option-Adjusted Spread
Valuation
Author:
AD&Co Staff
Title: Creating the Full Yield Curve
Date:
06-30-1998
Category:
General Commentary
Author:
AD&Co Staff
Title: Fear and Loathing in the MBS Market
Date:
06-23-1998
Category:
General Commentary
Author:
AD&Co Staff
Title: The GSE's: The Privatization Issue Redux
Date:
06-16-1998
Category:
General Commentary
Prepayment Models
Author:
AD&Co Staff
Title: Evaluating the Refi Boom
Date:
06-09-1998
Category:
Prepayment Models
Author:
AD&Co Staff
Title: New Prepayment Model: Auto Loans
Date:
06-02-1998
Category:
General Commentary
Author:
AD&Co Staff
Title: How You Slice It Matters
Date:
05-27-1998
Category:
Adjustable-Rate Mortgages
Author:
AD&Co Staff
Title: "Not Yet Louis" The Risk/Return of Premium Libor ARMs
Date:
05-19-1998
Category:
Real Estate Investment Trust
Author:
AD&Co Staff
Title: More On Commercial Mortgage REITs
Date:
05-12-1998
Category:
Valuation
Author:
AD&Co Staff
Title: Loan Origination and Risk-Based Pricing