Andrew Davidson & Co., Inc. Tackles Credit and Default Risk with their new LoanDynamics™ Model
New York, NY, January 23, 2007 – Andrew Davidson & Co., Inc. (AD&Co) is proud to announce the launch of its LoanDynamics™ Model, which projects delinquency, default, and loss severity as well as prepayment on Non-Agency mortgage loans. The company will unveil the new product on January 29, 2007 at the American Securitization Forum (ASF) Conference in Las Vegas.
AD&Co, the industry leader in prepayment modeling, is extending their current prepayment model subroutines to address the mounting needs of firms that issue or invest in credit-sensitive mortgages and related securities like Alt-A, High LTV and Subprime Loans. The LoanDynamics™ Model is the culmination of a 2-year company-wide development effort that has resulted in a set of economic models to explain the motivation for borrowers to transition among various payment statuses ranging from current to terminated, given an assortment of economic scenarios and loan characteristics.
Andrew Davidson, President of the firm, expresses enthusiasm for the model, “While prepayment models have become quite sophisticated over the past twenty years, and there is substantial agreement among analysts as to how the major factors interact, credit modeling has not advanced to the same level. Our new LoanDynamics™ Model provides a unified framework for analyzing and modeling the prepayment and default characteristics of a loan. The LoanDynamics™ Model incorporates the best features of traditional roll rate models and discrete choice models. This framework allows us to understand mortgage loans as never before. We are standing at the threshold of a new era in mortgage loan dynamics modeling.”
The LoanDynamics™ Model is an important initial step in the company’s march toward building a sophisticated, universally accepted Credit Product Line to help investors and issuers better understand credit and prepayment characteristics of mortgage loans and securities. The Credit Product line also includes an HPI generator and an Implied Default model. AD&Co is committed to further development and enhancement of these tools, the LoanDynamics™ Model and other credit valuation tools.
ADCo has built a product ready for integration into customers’ internal modeling systems, and the company is working closely with a number of its vendor partners to make available through their analytical tools.
About Andrew Davidson & Co., Inc.
Andrew Davidson & Co., Inc. is the leading provider of risk analytics for fixed income investors with emphasis on mortgage (MBS) and asset-backed securities (ABS). They currently offer prepayment models for MBS and ABS, a LoanDynamics™ Model for credit-sensitive mortgage securities, and option-adjusted valuation and risk management tools for MBS, ABS, and CMOs. With its unique blend of investment expertise and cutting-edge quantitative methods, the company produces highly advanced models and the most innovative solutions to mortgage investment challenges.
Contact:
Ilda Jacobsen
ilda@ad-co.com
212.274.9075
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