ANDREW DAVIDSON & CO., INC. RELEASES DETAILS OF NEW HOME PRICE
FACTOR IN THEIR PREPAYMENT MODEL
New York City, August 2, 2001--Andrew Davidson & Co.,
Inc. has released a new version of their MBS prepayment model, which
includes a home price factor. The Andrew Davidson & Co., Inc.
MBS prepayment model is the first commercially available prepayment
model to allow users to assess the impact of changing home prices
on prepayment rates.
Details of the development of the home price factor are available
in Quantitative Perspectives, the company's periodic research publication.
The July 2001 issue entitled, Home Price and Prepayments: The New
Andrew Davidson & Co., Inc. Prepayment Model, was written by
Eknath Belbase, Phd, who, together with Andrew Davidson, performed
extensive research into the effect of home price appreciation on
prepayments.
According to Belbase, the introduction of the Home Price Effect
in a pool-level generic model represents "a fundamental change
in our thinking about the economic determinants of prepayments.
While loan-level models have had home appreciation-related effects
for some time, it was thought that the geographical heterogeneity
of home-price appreciation meant that generic models would not gain
from the inclusion of such an effect. We have, however, found clear
evidence that national home price appreciation explains a considerable
amount of prepayment variation over time, which would otherwise
remain unexplained." The research paper is featured on the
company's website at www.ad-co.com.
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 both fixed and adjustable rate mortgages, prepayment models
for asset-backed securities, option-adjusted valuation and risk
management tools for MBS, ABS, CMOs, and interest rate processes.
The company's unique blend of consulting experience and expertise
with cutting-edge quantitative methods allows it to combine decades
of Wall Street experience with the most advanced modeling techniques
to produce informed, effective third-party software.
Contact: Ilda Pozhegu
Andrew Davidson & Co., Inc.
212 274-9075
ilda@ad-co.com
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