Alex Levin is Andrew Davidson & Co.'s Director of Financial Engineering. He leads the company's efforts in developing innovative and efficient valuation models for the MBS industry, including Interest Rate models, Active-Passive Decomposition burnout model, the concept of prepay-risk-and-option-adjusted valuation, the method of Credit Option-Adjusted Spread. Alex is the author of AD&Co’s standard 20-scenario grid method that has gained recognition among RMBS investors, mortgage insurers and reinsurers. His interests include the valuation of instruments exposed to credit risk, home price modeling, unemployment modeling and projects related to the 2007-09 financial crisis and the COVID-19 crisis.
He guided a team of software engineers and quants to design AD&Co’s financial engineering products including RiskProfiler and Kinetics, OAS-based valuation and risk measurement platforms that integrated many of the firm's popular models.
Prior to his career at AD&Co, Alex was a Senior Vice President and Director of Treasury Research and Analytics at The Dime Bancorp (the Dime) in New York. At the Dime, he designed bank's proprietary valuation systems that were intensively used for both security trading and risk assessment.
Alex has been a speaker at both academic and practitioner events and has published a large number of papers. He is co-author (with A. Davidson) of the book Mortgage Valuation Models: Embedded Options, Risk and Uncertainty published by Oxford University Press in 2014. He is also a recipient of a 2014 Mortgage Banking Magazine’s Technology All-Star Award. Alex holds an M.S. in Applied Mathematics from Naval Engineering Institute, Leningrad and a Ph.D. in Control and Dynamic Systems from Leningrad State University.