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The Pipeline Archives by topic
> Valuation of MBS/ABS
> Mortgage Pipeline/Servicing Management
> Asset / Liability Management
> Custom Prepayment and Default Modeling
> AD&Co. Model Applications
Valuation of MBS/ABS
Residual Fair Value - by Mickey Storms - Aug 02
Testing Residual Cash Flow Projections - Sept 02
Market Analysis - Sept 02
Measuring the Risk of Hedge Funds - Oct 02
Changes to the Market Analysis Framework - Oct 02
Default Adjusted Spread (DAS) - Nov 02
The Impact of Age on Valuation - Jan 03
Home Price Appreciation - Mar 03
CBO Valuation - by Mickey Storms - Apr 03
The Impact of Volatility on MBS Valuation - Apr 03
OAS Risk and Market Directionality - May 03
A New Foundation for Housing Finance - by Andrew Davidson - June 03
Theory of Implied Durations - Jul 03
Recent events at Fannie Mae and Freddie Mac... - Aug 03
Be Wary of the Slope - Sept 03
Forecasting Conditional Default Rates for Manufactured Housing ABS - by Anne Ching - Oct 03
Think Twice Before Cutting Once...the Tail - Nov 03
Qualifying the Performance of Leveraged MBS Strategies - by Mickey Storms - Dec 03
The Lessons of an Eventful Year - Dec 03
Keen Eye for Manufactured Housing - by Mickey Storms - Jan 04
MH Collateral Performance Update - by Anne Ching - Feb 04
Risk Management Challenged - by Mickey Storms - May 04
Understanding the Spread Risk - Oct 04
The Relative Value of Hybrids - Oct 04
"Auld Lang Syne" - Dec 04
2004 Valuation Round-up - Dec 04
Measuring and Managing Prepay Model Risk - Mar 05
A Virtuous Portfolio - by Andrew Davidson - May 05
Is the MBS Market Expensive? - Jun 05
Back in the Forefront - by Andrew Davidson - Oct 05
Data Availability and Its Implications for Behavioral Models - Sept 05
Mortgage Pipeline/Servicing Management
Volatility's Role in MSR Valuation - Dec 02
Interest Rate Lock Commitments and the SEC - by Andrew Davidson - Mar 04
Fair Value & Cost-Based Accounting - by Andrew Davidson - Apr 04
Why does bad accounting happen to good companies? - Nov 04
Bad Accounting: Don't just get mad, get even - Jan 05
Asset / Liability Management
Adjusting Assumptions to Market Conditions - by Lily Chu - Mar 03
MBS in 2003 or How I Learned to Love the Premium Bond (with Apologies to Dr. Strangelove) - by Andrew Davidson - May 03
Effects of Home Price Appreciation on Refinancing - by Mickey Storms - July 03
Development of the Hybrid ARM Market - by Anne Ching - Nov 03
Today's CFO: Triple Threat? - by Andrew Davidson - Mar 05
Custom Prepayment and Default Modeling
New MBS Disclosures - by Andrew Davidson - Feb 03
The Competing Risks of Mortgage Prepayment and Default - Feb 05
AD&Co. Model Applications
Implied Prepayment Model (IPPM) - Aug 02
The burnout tuning parameter and its effect on valuation - Feb 03
Stay Normal: A Testimony of the Market and the ADCO Volatility Index - Jun 03
Inquiries & Interactions: We're Always Listening - Oct 03
Insights into Historical Current Coupon OAS - Jan 04
How to Validate an Interest Rate Model - Part I: Pricing Swaps & Bonds - Feb 04
How to Validate an Interest Rate Model - Part II: Validation of Floaters - Mar 04
Prepayment-risk-and-option-adjusted-spread Valuation - Apr 04
Prepayment-Risk-and-Option-Adjusted-Spread Valuation: Conclusion - May 04
prOAS Delivered, Explained and Discussed - Jun 04
Treating MBS settlement rigorously: AD&Co's OAS version 5.2 - Jul 04
How to Validate an Interest Rate Model - Part III: Validation of option values - Sept 04
AD&Co OAS 5.2b: Enhanced Data, Bloomberg Links, Pay-ups & More - Nov 04
New Prepayment Tuning Recommendations - Nov 04
A New & Improved HEL Model - Nov 04
A New Member of AD&Co: The Two-Factor Gaussian Term Structure - Jan 05
New Member of AD&Co: The Two Factor Gaussian Term Structure (part 2) - Feb 05
What is Behind OAS Measures? - Apr 05
Modeling Mortgage Risk: Definitional Issues - Apr 05
AD&Co.'s OAS v6.0: Valuation Analytics that Make a Difference - May 05
Hybrids at a Glance - Jul 05
AD&Co. Weekly Market Analysis: A Fresher Look and Deeper Content - Sept 05
New Model Release: MBS Enhanced Prepayment Model: v5.1c - Oct 05
Valuation Q&As. Part 1: AD&Co. Interest Rate Library - Oct 05
Valuation Q&As. Part 2: Valuation of MBS with OAS and prOAS - Nov 05
A Comparison of Speeds: v4.3.4 vs. v5.1c - Nov 05
>> View all other Publications by Andrew Davidson & Co., Inc.
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