Welcome to The S-Curve
Now you will be able to receive the latest announcements, product updates, and our insights on the mortgage market in real time.
The name of the blog, the S-Curve, is a reflection of our logo and the central feature of our prepayment model. S-curves are seen in nature in many phenomenon, from population growth to prepayment and default models. Our first S-curve, in the early 1990s, used the arctangent function, then piece-wise linear functions, and evolved over time to be more complex and vary by FICO, loan size and LTV. This evolution encapsulates both the timeless nature of fundamental relationships and constant innovation to describe them better over time.
We hope you find the information useful and we look forward to your feedback.
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Now Available: AD&Co’s Quantitative PerspectivesThoughtsWe’re excited to announce our latest Quantitative Perspectives providing in-depth insights into current market trends and advanced valuation techniques. This publication offers valuable information for mortgage market participants and those involved in credit risk transfer transactions.
Climate-Conditioned LoanDynamics Model (ccLDM)
Eknath Belbase introduces the integration of climate risk into our analytical framework. Building on previous work, he explores how our LoanDynamics Model (LDM) has evolved to account for climate-related factors, adjusting prepayment and default probabilities. Climate-conditioned versions of LDM and House Price Appreciation (HPA) model are now integrated into our LoanKinetics (LK) tool and OAS subroutine, available for use. This paper focuses on the advancements in our prepayment, default, and severity models to better capture climate risk. Click below to read the full paper.
This paper will be a valuable resource for your work. A login is required for access. If you have any questions or would like to discuss the content in more detail, please contact support@ad-co.com.
The S-Curve Archives
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ThoughtsWe’re excited to announce our latest Quantitative Perspectives providing in-depth insights into current market trends and advanced valuation techniques. This publication offers valuable information for mortgage market participants and those involved in credit risk transfer transactions.
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PodcastTune in to Laura Silberg's interview with Andrew Davidson, Eknath Belbase and Alex Levin as they discuss their latest Quantitative Perspectives, our independent commentary series, titled
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ThoughtsAs providers of mortgage models for financial institutions, Andrew Davidson & Co., Inc. (AD&Co) enables clients to validate their use of our models and offers documentation describing the conceptual framework of the models, back-testing results, and sample forecasts under a variety of economic conditions. We also work with analytics providers who have incorporated our models to ensure that the models works as intended.
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ThoughtsWe’re excited to announce two new Quantitative Perspectives that provide in-depth insights into current market trends and advanced valuation techniques. These papers offer valuable information for mortgage market participants and those involved in credit risk transfer transactions.
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EventsAndrew Davidson & Co. Inc. (AD&Co) proudly sponsored the Information Management Network (IMN)’s 10th Annual Mortgage Servicing Rights (MSR) Forum, held November 21 - 22, 2024 at the New York Marriott at Brooklyn Bridge.
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Podcast
Tune in to Michelle Stepien Breier's interview with Alex Levin & Matteo Caracciolo-King as they discuss their latest Pipeline article “AD&Co Updates its Home Price Index Model.” The interview highlights key points from the article as they share recent updates to the HPI3 model.
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ThoughtsWith the increasing volumes of Synthetic Risk Transfer (SRT) and Credit Risk Transfer (CRT) along with the discussion of BASEL III, we thought it would be useful to re-issue our comment letter to FHFA on the capital treatment of Credit Risk Transfer.
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PodcastRecently, senior credit modeler, Daniel Swanson had the pleasure of speaking with Rob Kessel from the Panoramic Capital Academy podcast titled, “Modeler’s Perspective on Prepayment Modeling.” This podcast is
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ThoughtsThe earliest paper we found examining the impact of climate risks on house prices was from 2017, which found a relationship between elevation/sea level rise and house price differences.[1]
We built our climate-conditioned HPA model in 2022 based on the idea that an increase in insurance costs would impact house prices (something we had not studied yet) in the same way that an increase of the same size in mortgage rates would impact house prices (something that we were quite familiar with).
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NewsAndrew Davidson & Co., Inc (AD&Co) is pleased to announce a new alliance with Mortgage Capital Trading, Inc. (MCT), a leading provider of mortgage capital market solutions.