Andrew Davidson & Co. Inc. (AD&Co) was founded in 1992 by Andrew Davidson, an international leader in the development of financial research and analytics, mortgage-backed securities product development, valuation and hedging.
2010 UPCOMING EVENTS
PREVIOUS EVENTS
AD&Co’s 18th Annual Conference: Wednesday, June 9th, 2010 @ TheTimesCenter in NYC
242 West 41st Street (between 7th & 8th Aves)
*****Registration is now closed*****
Please contact AD&Co at 212-274-9075 for more information.
A New Decade, A New Dawn
9:00a-5:00p
8:15a-8:45a
Sign-in and breakfast
Morning Session:
AD&Co Presentations:
• Credit considerations in prepayment modeling
• Loan Modifications, foreclosure timelines and other enhancements in LDM
• HPI Modeling: forecast, geography, risk and value
Panel Discussion:
• Data and the Performance of RMBS
Lunch:
• Discussion groups: the impact of emerging trends on your business
Afternoon Session:
Special Guest:
• Jess Walter, author of the novel, “The Financial Lives of the Poets”
AD&Co Presentations:
• New approaches to analyzing non-agency RMBS deals
• Risk, capital & interest rate risk/hedging
Panel Discussion:
• Ratings vs. Analytical Measures
Vendor exhibitions and ample network opportunities
Please Note — Registration is now closed.
Please contact AD&Co at 212-274-9075 for more information.
PRMIA’s “Issues in Securitization Forum” – Washington, D.C.
Andrew Davidson presents on May 3, 2010
Link to Details
Analytical Measures, Ratings & Risk-Based Capital
March 24th, 2010
2:00-5:00pm, reception to follow
Willard Intercontinental
1401 Pennsylvania Avenue NW
Washington, DC 20004
(202) 628-9100
Pierce Room
AGENDA
2:15-3:00pm
Speaker: Andrew Davidson
Talk: A General Perspective on Analytical Measures Versus Ratings
Analytical measures such as COAS, expected loss, distribution of losses & probability of loss are used for a number of applications including credit risk management, rich/cheap analysis, accounting and risk-based capital for credit risk. Ratings are often used for a number of similar purposes. We compare and contrast the use of ratings versus analytical measures across a number of dimensions.
3:00-3:45pm
Speaker: Rick Ellson
Talk: Analytical Measures Versus Ratings: Examples from Practice
We go over a number of interesting examples of real deals and follow their evolution through time. This allows us to see in practice the relative merits of different analytical measures as well as the shortcomings of ratings.
4:00-4:45pm
Speaker: Eknath Belbase
Talk: Risk-Based Capital for MBS & Mortgage Loans
We begin by showing why an analytical approach is strongly preferable to a ratings-based approach for assigning credit capital. We then discuss the specifics of a mortgage RBC framework for market & credit risk incorporating model risk.
ASF 2010
January 31 – February 3, 2010
Gaylord National Hotel in Washington, DC.
Andrew Davidon speaks on the “RMBS Data Needs and Enhancements” panel – Monday, February 1 from 3:20pm – 4:20pm.
Sunset Seminar – GSE Reform and the Future of Agency MBS
American Securitization Forum’s
Sunset Seminar
Wednesday, December 9, 2009
5:30 – 7:00 PM (ET)
New York, NY
Andrew Davidson speaks on “GSE Reform and the Future of Agency MBS”
panel.
ABS East
October 25- 27, 2009
Miami, FL
Contact Rob Landauer at 212-274-9075 to set up a meeting and find out how AD&Co can help you with your risk analytics and consulting needs.
Andrew Davidson testifies on behalf of the United States Senate Committee on Banking, Housing & Urban Affairs at the Securitization of Assets: Problems and Solutions Hearing: Securities, Insurance, and Investment
Wednesday, October 7, 2009; 2:30 pm
Distressed Asset Roundtable & Exchange
October 6-7, 2009
New York, NY
Andrew Davidson sits on Panel: Loss Mitigation: What’s Working
Time: Tuesday, October 6th 3:15 – 4:30 PM
Description: While some dwell on shortcomings in loan modifications, there are plenty of industry insiders who have found workouts that work. Join these attorneys, servicers, investors, and outsourcers to discuss successful strategies that can stabilize risks, help deserving borrowers, and perhaps even contribute to a wider market recovery.
ACLI Senior Investment Managers Seminar
September 13-15, 2009
Fairmont Copley Plaza
Boston, MA
Andrew Davidson presents from 9:45-10:45am on September 15th, 2009
Assessing impairment, fair value and capital charges remain challenges as traditional measures such as ratings and trade prices often do not reflect the underlying economics especially for long term holders of RMBS. Analytical measures provide another view, but come with their own issues.
The 2009 IAFE Annual Conference
PricewaterhouseCoopers
300 Madison Avenue (42nd Street)
June 24th, 2009
2:45 pm
IAFE Liquidity Risk Paper
Andrew Davidson explores the role of liquidity and its positive and reduce the negative effects on market innovation. A discussion is held to discuss the effects of securitization, counterparty risk, clearance and settlement systems, and other manifestations of liquidity.
