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Preparation is underway for our 20th Annual Conference, “Innovation amid Uncertainty” on June 13, 2012 and this year we’ve decided to do things a little differently. In the morning, sessions will focus on innovations in AD&Co models; however, the afternoon will feature several options. Attendees can attend policy discussions on GSE Reform in the main auditorium, or choose to attend smaller breakout sessions where you will have the opportunity to meet the modelers, interact with our model validation team and have an in-depth discussion about our models in a more intimate setting. We hope that this format will give you greater flexibility to plan the day the way that is most appropriate for you, and to make the best use of your time and our resources.

You should have received your email invitation by now. If not, please let us know. If you would like to see the preliminary agenda, check out the hotels in the area, or need directions to the venue, please link to our News and Events page.

For more information, contact Ashlea Bonds, ashlea@ad-co.com, 212-274-9075.

Remember, this year the conference will be at:

The Graduate Center
City University of New York
365 Fifth Avenue @ 34th Street, Concourse Level
New York City

We hope to see you there!

At the end of March, Sequoia issued its second transaction of the year. This paper contains an analysis of the deal’s loans, a CreditProfile™ of the securities, and a discussion of the ratings agencies’ disputes over post-crisis issuance.

Andrew Davidson & Co., Inc. (AD&Co) has been in the model development business for almost 20 years. The vast majority of our clients rely heavily on quantitative analysis and models (from a variety of internal and external sources) for their financial decision-making and reporting. In this article, we discuss both a process and mindset called model validation which complements and reinforces the model development, estimation and testing process which has been our core business. We begin by defining model validation and its uses, discussing a circular from the Office of the Comptroller of the Currency (OCC) on this topic, and our general framework. Next, we cover in-depth a recent validation performed on our LoanDynamics™ model (LDM) as a case-study in applying our framework. Finally, we conclude with plans for how we will apply model validation going forward, both to our internal models, and as an external service for clients looking for expert third-party evaluations of models or quantitative analysis they are using for decision-making or reporting.