Andrew Davidson & Co., Inc. Reveals the Workings behind its
MBS Enhanced Prepayment Model
New York, May 17, 2006 -- Andrew Davidson & Co., Inc.
has just published its latest Quantitative Perspectives, "Fixed
Rate Agency Prepayments & Model Enhancements." In the research
piece, writer and Modeler Dan Szakallas describes, in detail, the
methodology behind the company's latest MBS Enhanced Prepayment
Model. New MBS Enhanced Prepayment Model developments include the
incorporation of Active-Passive Decomposition (APD) for burnout,
enhanced pool data from Fannie Mae, Freddie Mac and Ginnie Mae as
well as enhanced data disclosure from the agencies since 2003. These
added model features enable analysts to more accurately predict
prepayments on loans.
The new modeling routine is the foundation for Andrew Davidson
& Co., Inc.'s attempt to merge their VectorsTM model suite,
including the Sub Prime Prepayment Model, OAS Valuation Solution
and soon-to-be released Credit Default Model, under a unified APD
methodology. Further discussion of this and other models as well
as the company's study and innovations behind Credit Defaults will
occur at the Andrew Davidson & Co., Inc Annual Conference on
June 15 in New York City and June 20th in San Francisco.
The comprehensive commentary begins with the Andrew Davidson &
Co., Inc. Modeling Philosophy and goes on to describe new model
factors, how and why APD works as better forecasting practice for
capturing prepayments and the company's approach to applying the
new data disclosures with and without risk multipliers. Along the
way, illustrations, charts and mathematic equations further elucidate
the modeling process.
Andrew Davidson & Co., Inc. provides consulting services, litigation
support, and risk analytics for mortgage and asset-backed securities.
The VectorsTM analytics library currently offers prepayment models
for fixed rate and adjustable-rate mortgages, prepayment models
for asset-backed securities, option-adjusted valuation and risk
management tools for MBS, ABS, and CMOs, and interest rate processes.
The company's unique blend of consulting experience and expertise
with cutting-edge quantitative methods allow it to combine decades
of Wall Street experience with the most advanced modeling techniques
to produce informed, effective third-party software.
Contact: Ilda Jacobsen
Andrew Davidson & Co., Inc.
212 274-9075
ilda@ad-co.com
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