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:
05-19-1998
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
Date:
05-05-1998
Category:
Prepayment Models
Author:
AD&Co Staff
Title: Prepayment Model Performance Report
Date:
04-28-1998
Category:
General Commentary
Author:
AD&Co Staff
Title: Gorillas in the Mix, Mega Banks & the Mortgage Market
Date:
04-21-1998
Category:
Adjustable-Rate Mortgages
Author:
AD&Co Staff
Title: Modelling ARM Cash Flows
Date:
04-14-1998
Category:
Real Estate Investment Trust
Author:
AD&Co Staff
Title: The Commercial Mortgage Market Rediscovers REITS
Date:
04-07-1998
Category:
General Commentary
Prepayment Models
Author:
AD&Co Staff
Title: The Potential for Refinance Activity Revisited
Date:
03-31-1998
Category:
Cost of Funds
Prepayment Models
Author:
AD&Co Staff
Title: A Study of COFI ARM Prepayments
Date:
03-24-1998
Category:
Prepayment Models
Author:
AD&Co Staff
Title: New Prepayment Model: Mobile Homes
Date:
03-17-1998
Category:
Adjustable-Rate Mortgages
Valuation
Author:
AD&Co Staff
Title: Modeling ARM Cash Flows
Date:
03-10-1998
Category:
General Commentary
Author:
AD&Co Staff
Title: New Questions for the Subprime Market
Date:
03-03-1998
Category:
General Commentary
Author:
AD&Co Staff
Title: Describing Brady Bonds With Mixture Distributions
Date:
02-24-1998
Category:
Adjustable-Rate Mortgages
Prepayment Models
Author:
AD&Co Staff
Title: A Study of GNMA ARM Prepayments
Date:
02-17-1998
Category:
Real Estate Investment Trust
Author:
AD&Co Staff
Title: Market to Book for REIT Stocks
Date:
02-10-1998
Category:
Adjustable-Rate Mortgages
Real Estate Investment Trust
Author:
AD&Co Staff
Title: The Theoretical Price Profile of ARM REIT Equity
Date:
02-04-1998
Category:
General Commentary
Author:
AD&Co Staff
Title: Risk Based Pricing
Date:
01-27-1998
Category:
Value-at-Risk
Author:
AD&Co Staff
Title: Value at Risk and Mixture Distributions
Date:
01-20-1998
Category:
General Commentary
Prepayment Models
Author:
AD&Co Staff
Title: High WAC Loans and Prepayment Behavior
Date:
01-13-1998
Category:
Servicing
Author:
AD&Co Staff
Title: Decomposing the Value of Servicing Rights
Date:
01-06-1998
Category:
General Commentary
Author:
AD&Co Staff
Title: Risk and Return in 1998
Date:
12-23-1997
Category:
Adjustable-Rate Mortgages
Real Estate Investment Trust
Author:
AD&Co Staff
Title: The Earnings Profile of ARM REITs
Date:
12-16-1997
Category:
General Commentary
Author:
AD&Co Staff
Title: Turbulence in the Subprime Market
Date:
12-09-1997
Category:
Value-at-Risk
Author:
AD&Co Staff
Title: Hedging with VAR
Date:
12-02-1997
Category:
Prepayment Models
Author:
AD&Co Staff
Title: Prepayment Model Performance Report
Date:
11-25-1997
Category:
Value-at-Risk
Author:
AD&Co Staff
Title: Calculating VAR for Brady Bonds
Date:
11-18-1997
Category:
Adjustable-Rate Mortgages
Valuation
Author:
AD&Co Staff
Title: Analysis of CMT Indexed ARMs with Libor Funding
Date:
11-11-1997
Category:
Value-at-Risk
Author:
AD&Co Staff
Title: Evaluating Mortgages With a VAR Framework
Date:
11-04-1997
Category:
General Commentary
Author:
AD&Co Staff
Title: The Risk of Brady Bonds
Date:
10-28-1997
Category:
Real Estate Investment Trust
Author:
AD&Co Staff
Title: Mortgage Debt REITSA
Date:
10-21-1997
Category:
General Commentary
Author:
AD&Co Staff
Title: Goodbye to the FFIEC Tests for Mortgage Derivatives?
Date:
10-14-1997
Category:
General Commentary
Author:
AD&Co Staff
Title: Forecasting and Statistical Error
Date:
10-07-1997
Category:
Option-Adjusted Spread
Valuation
Author:
AD&Co Staff
Title: Convexity in OAS-Based Pricing
Date:
09-30-1997
Category:
General Commentary
Prepayment Models
Author:
AD&Co Staff
Title: The Potential for Refinance Activity
Date:
09-23-1997
Category:
Prepayment Models
Author:
AD&Co Staff
Title: Prepayment Rates and the Bloomberg Median
Date:
09-16-1997
Category:
General Commentary
Author:
AD&Co Staff
Title: FASB's Proposed Accounting for Derivatives and Hedging
Date:
09-09-1997
Category:
General Commentary
Author:
AD&Co Staff
Title: The Changing Dynamics of Mortgage Lending
Date:
08-26-1997
Category:
Option-Adjusted Spread
Author:
AD&Co Staff
Title: How P/E Multiples Drive Option-Adjusted Spreads
Date:
08-19-1997
Category:
Option-Adjusted Spread
Valuation
Author:
AD&Co Staff
Title: Value and Risk Metrics in Quantitative Analysis
Date:
08-12-1997
Category:
Value-at-Risk
Author:
AD&Co Staff
Title: Value-At-Risk for the Mortgage Pipeline
Date:
08-05-1997
Category:
Adjustable-Rate Mortgages
General Commentary
Author:
AD&Co Staff
Title: Looking Back: Interest Rate Changes
Date:
07-29-1997
Category:
Adjustable-Rate Mortgages
Author:
AD&Co Staff
Title: Current Opportunity to Refinance 1-YEAR CMT ARMS
Date:
07-22-1997
Category:
General Commentary
Author:
AD&Co Staff
Title: What is a FASIT?
Date:
07-15-1997
Category:
Option-Adjusted Spread
Author:
AD&Co Staff
Title: Effect of Prepayment Model Changes on OAS
Date:
07-08-1997
Category:
Servicing
Author:
AD&Co Staff
Title: The Cost of Not Replacing Servicing
Date:
07-01-1997
Category:
Adjustable-Rate Mortgages
Option-Adjusted Spread
Author:
AD&Co Staff
Title: COFI Talk! - OAS for COFI ARMS
Date:
06-24-1997
Category:
General Commentary
Author:
AD&Co Staff
Title: Rising Delinquencies in Subprime Market
Date:
06-17-1997
Category:
Prepayment Models
Author:
AD&Co Staff
Title: The New Fixed-Rate Mortgage Prepayment Model
Date:
06-10-1997
Category:
Prepayment Models
Author:
AD&Co Staff
Title: The Effect of Points on Mortgage Prepayments
Date:
06-03-1997
Category:
Option-Adjusted Spread
Author:
AD&Co Staff
Title: Duration Drift
Date:
05-27-1997
Category:
Option-Adjusted Spread
Author:
AD&Co Staff
Title: Partial and Prepayment Duration Hedging