AD&Co BIOGRAPHIES

Andrew Davidson is a financial innovator and leader in the development of financial research and analytics. He has worked extensively on mortgage-backed securities product development, valuation and hedging. He is president of Andrew Davidson & Co., Inc., a New York firm specializing in the application of analytical tools to investment management, which he founded in 1992.

Andrew Davidson & Co., Inc. turns mortgage data into investment insight. The firm created VECTORS® Analytics, a set of proprietary tools including the LoanDynamics Model for credit-sensitive mortgage securities, prepayment and option-adjusted spread (OAS) models for fixed-rate mortgages, adjustable-rate mortgages, collateralized mortgage obligations (CMOs), and asset-backed securities (ABS). Over 150 financial institutions depend on VECTORS® Analytics to help manage risk and value securities.

The company also provides consulting advice to financial institutions in the development and implementation of investment management and risk management strategies. They also work on a variety of fixed-income trading and valuation analyses. Customers of the firm include businesses of all sizes including many of the largest and most sophisticated financial institutions.

Andrew was instrumental in the creation of the Freddie Mac and Fannie Mae risk-sharing transactions: STACR and CAS. These transactions allow Freddie Mac and Fannie Mae to attract private capital to bear credit risk, even as they remain in government conservatorship. Andrew is also active in other dimensions of GSE reform and has testified before the Senate Banking Committee on multiple occasions. Andrew also helped establish the Structured Finance Industry Group and served on the Executive Committee at its inception.

For six years Andrew worked at Merrill Lynch, where he was a Managing Director in charge of a staff of 60 financial and system analysts. In this role, he produced research reports and sophisticated analytical tools including prepayment and option-adjusted spread models, portfolio analysis tools, and was also responsible for the development of trading and risk management systems for the mortgage desk covering ARMs, CMOs, pass-throughs, IOs/POs and OTC options.

Andrew was previously a financial analyst in Exxon’s Treasurer’s Department. He received an MBA in Finance at the University of Chicago and a BA in Mathematics and Physics at Harvard.

He is co-author of the books Mortgage Valuation Models: Embedded Options, Risk and Uncertainty; Securitization: Structuring and Investment Analysis; and Mortgage-Backed Securities: Investment Analysis and Valuation Techniques. He has contributed to The Handbook of Mortgage-Backed Securities and other publications.

Sanjeeban Chatterjee is one of the original employees of Andrew Davidson & Co., Inc (AD&Co). Sanjeeban worked at the firm from 1993 through 2000 before moving onto JP Morgan Fleming Asset Management (JPMFAM). After spending 4 years at JPMFAM Sanjeeban rejoined Andrew Davidson & Co., Inc. in May 2004. Sanjeeban is currently the Product Manager for all AD&Co Prepayment and Credit Models.

During his initial tenure at AD&Co., Sanjeeban was responsible for the early development of cutting-edge prepayment and default models for mortgage and asset-backed securities. He developed and became familiar with models for various collateral types. In addition, he performed consulting work for clients, including a prepayment study for a Latin American country, which was perhaps the first of its kind.

From 2000 through 2004 Sanjeeban was a Vice-President in the quantitative research group at JP Morgan Fleming Asset Management. In this position he developed models and provided quantitative research to help the mortgage investment team manage approximately $25 Billion in mortgage-backed securities. His other responsibilities included performance attribution and finding value in specified pools.

More recently, Sanjeeban has developed termination models for HELOCs, Reverse Mortgages, and Multifamily Housing, in addition to helping with the development of prepayment and default models for agency and non-agency MBS. He has also analyzed the mortgage markets of two Latin American countries. Sanjeeban is a member of the AD&Co Management Committee.

Sanjeeban received an MA in Applied Statistics from the University of Pittsburgh and a BS in Mathematics from Bates College.

John Ferrante joined Andrew Davidson & Co., Inc. in January 2005 to assist in the development of their loan-level prepayment and default models. He came to AD&Co. after co-founding and acting as Senior Software Engineer for VaRisk, a research firm specializing in risk management tools for financial institutions.

Prior to VaRisk, John was a Senior Software Engineer with Loan Performance, improving their Risk Model and building various financial tools, including interest rate generators, prepayment models, and data analysis functions for large lending institutions. John worked for four years at Bank of America before that as an Applications Software Engineer and Vice President in the interest rate risk group programming various financial applications for use in asset liability management.

John began his career as a Scientific Programmer for Berkeley Research Associates working on computational fluid dynamics problems involving atmospheric effects and studying solar wind flows.

John holds a BA in Math and an MA in Statistics, both from UC Berkeley.

Rob Landauer is the Director of Business Development for Andrew Davidson & Co., Inc. where he has worked since November of 1999. Andrew Davidson & Co. provides consulting services and proprietary prepayment and valuation models to the institutional fixed income markets.

Prior to joining Andrew Davidson & Co., Inc., Rob spent 8 years as an applications manager at Bloomberg Financial markets where he specialized in the MBS, ABS, CMBS and Syndicated Loan Markets. His responsibilities at Bloomberg included product development, product management and sales and marketing for these market sectors.

Prior to joining Bloomberg, Rob spent two years as Vice-President and Treasurer at Ensign Federal Savings Bank, a $2 Billion savings and loan institution headquartered in New York.

Before joining Ensign, Rob spent four years as a Mortgage-backed securities trader at Irving Securities, a wholly owned subsidiary of Irving Trust.

Rob received his MBA from the Wharton School at the University of Pennsylvania in 1984. He graduated from the School of Industrial and Labor Relations at Cornell University with a BS in June of 1980.

Alex Levin is Andrew Davidson & Co., Inc.'s Director of Financial Engineering. He leads the company's efforts in developing new, efficient valuation models for mortgages, derivatives and other financial instruments and in related consulting work. He guided a team of software engineers and quants to design RiskProfiler, an OAS-based valuation and risk measurement platform that integrated many of the firm's popular models.

Alex has developed a number of models used today in the MBS industry: the suite of term-structure models; home-price simulator; the Active-Passive Decomposition (APD) mortgage model facilitated by a backward induction OAS pricing; the novel concept of prepay risk-neutrality (with Andrew Davidson) that introduced a new valuation measure, prOAS, and explained many phenomena of the MBS markets.

Until March of 2002, 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 authored Mortgage Solutions, Deposit Solutions and Option Solutions, the Dime's proprietary pricing systems that were intensively used for both security trading and risk assessment. In addition, he was regularly involved in measuring market risk and hedging positions in various lines of the banking business. Prior to this, Alex taught at The City College of NY and worked at Ryan Labs, a fixed income research and money management company.

Alex has been a frequent speaker at both academic and practitioner events and has published numerous papers. He is co-author (with A. Davidson) of the book “Mortgage Valuation Models: Embedded Options, Risk and Uncertainty” published by Oxford University Press. He was a winner of the 2014 Mortgage Banking Technology All Stars 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.

Nathan Salwen began work at Andrew Davidson and Co., Inc. (AD&Co) in 2007. He is leader of the technology group, but also contributes as a member of the financial engineering team.

He has played a key role in streamlining the code in the LoanDynamics Model (LDM) and is the lead developer of the Option-Adjustable-Spread (OAS) software code base. He pioneered the use of distributed computing for high throughput OAS calculation and wrote the executable that is used in the new LoanKinetics product.

Nathan began his professional career as a software and hardware engineer at Proteon Inc., a leading provider of local area network solutions. He designed high speed token rings and routers and rose to the position of Chief Engineer as the company grew to about 500 employees.

After the company went public, Nathan returned to school at Harvard where he completed his undergraduate degree in Mathematics and earned a PhD in Theoretical Physics. His research areas were quantum maps and computational methods in quantum field theory. Following graduation he had appointments was a post-doctoral researcher in quantum field theory at North Carolina State University and Ohio State University where he worked in light-cone quantization.

At Ohio State, Nathan helped form the Women's Ultimate Frisbee team and coached it for 3 years. He continues to play frisbee and is an avid bicycle commuter.

Herb Ray joined Andrew Davidson & Co., Inc. in September 2005 as database developer and administrator.

For the fourteen years prior to joining AD&Co, Herb was an IT consultant doing database development, chiefly in the investment banking industry. The last five years of his consulting work were primarily in equities research automation at such clients as Canadian Imperial Bank of Commerce and SG Cowen. Prior to his work in equities research automation, Herb was at Bankers Trust for over six years developing the automation of credit policy and credit portfolio reporting.

Before moving to IT, Herb was a manufacturing quality control engineer with General Instrument Corporation/Power Semiconductor Division where he developed and conducted training programs for engineers and managers in statistical quality control.

Herb received his B.A. in Engineering Science from Hofstra University in 1983, with minors in Mathematics

Dan Szakallas  is responsible for the development of the company’s suite of pool-level and loan-level prepayment and credit models for both fixed rate and ARM collateral using data from Fannie Mae, Freddie Mac, and Ginnie Mae. He has implemented a transition-based modeling approach which allows  the models to forecast voluntary prepayments as well as delinquencies, defaults, and repurchases for Agency collateral using various loan characteristics and market factors. He also provides custom model tuning analysis to clients using their portfolio data and monitors model performance, utilizing the Mortgage Analysis & Reporting System (MARS), the weekly Market Valuation Reports, and the Monthly Trend Reports.

In addition, Dan has co-authored several of Andrew Davidson & Co., Inc.’s Quantitative Perspectives, has had an article published in the Journal of Fixed Income, co-authored a chapter in The Handbook of Mortgage-Backed Securities 6th Edition, and regularly contributes to the company’s monthly newsletter, The Pipeline.

He graduated from Carnegie Mellon University with a dual major in Statistics and Psychology.

Eknath Belbase re-joined AD&Co. in December 2009 after spending 6 years at Freddie Mac in a variety of roles. At AD&Co. he focuses on consulting projects involving risk management, hedging, interest rate and credit analytics and risk-based capital as well as portfolio strategy.

At Freddie Mac he initially worked in SS&TG, the broker dealer within Freddie, as a mortgage strategist and head of the modeling team, developing prepayment models, extensive time series of securities and derivative prices and a variety of rich/cheap analyses, and authored approximately 50 mortgage strategy and prepayment articles sent to over 200 clients. After the dealer was shut down, he moved to work in the research group for the retained portfolio for 2 years, and then led a team of portfolio managers and analysts as head of non-prime portfolio management, which conducted Freddie Mac’s operations within the areas of non-prime whole loans, subordinate bonds, CDS and MI. Additionally, after Freddie’s activities in the non-prime areas were curtailed in 2007, he worked in guarantee-fee pricing analytics within the prime business and in market risk oversight.

Prior to Freddie Mac, Eknath worked briefly at E*Trade Bank developing optimal interest-rate hedging strategies and executing swap and swaptions transactions within the Bank’s ALM function, as well as at Fannie Mae within a portfolio strategy function working for the mortgage, debt and derivative desks, where he gained expertise in the hedging of mortgages using callable debt and interest rate derivatives.

Eknath began his career in Finance at AD&Co, where he worked from 1998-2002. During that period, he developed the first version of the B-K interest rate process, an initial implementation of the implied-prepayment model, and developed prepayment models for agency fixed-rate and hybrid products that introduced national house price appreciation as a driving variable for the first time. He also supported a number of consulting projects during that period.

Eknath holds a PhD in Mathematics (Probability Theory) and an MS in Statistics from Cornell University (1998) and a BA in Mathematics and Computer Science from Ohio Wesleyan University (1992).

Dan Hantman, Esq. is counsel to Andrew Davidson & Co., Inc., and also oversees the company’s business and administrative affairs.  Before joining the organization in 2013, he was in private practice with the New York law firm Patterson Belknap Webb & Tyler LLP, where his focus was intellectual property.  He also spent time in senior legal and policy roles with the federal government, first at the White House and then at the Department of Homeland Security.

Dan received his A.B. from Princeton University and his J.D. from the Columbia University School of Law.

Richard L. Cooperstein leads Model Risk Management at Andrew Davidson & Co., Inc., supporting the company’s growth in an increasingly regulated environment. Leveraging his experience as a regulator, model builder, and user to enhance the company’s best-in-class models, he helps AD&Co meet client needs as the market evolves. He has decades of experience creating and using option-based analytical infrastructure to value, manage, and invest in various types of credit risk.

Most recently, Cooperstein was Chief Financial Officer and Treasurer of Ocwen Mortgage Servicing, a subsidiary of Ocwen Financial, where he also served as Vice President of Pricing and Asset Acquisitions. He has held positions at Gleacher Financial, RangeMark Analytics, and Ranieri Partners, where he ran fixed-income analytics employing his copyrighted Fixed Income Valuation Platform©. Prior to that he ran Cooperstein Analytics; served as Group Director of Capital Deployment at RMIC; Vice President of Structured Transactions at Freddie Mac; and Managing Director, Head of Modeling and Analytics at HSBC Securities.

Cooperstein began his career at the General Accounting Office and then served as Senior Economist in the Executive Office of the President, Office of Management and Budget, where he applied option pricing theory to value the financial guarantees of the Federal Government, and was one of the chief architects of Credit Reform. 

Richard is a published author on option pricing theory and valuing credit risk, including articles in The Journal of Structured Finance, The Journal of Financial Intermediation, and The AREUEA Journal. He holds a Ph.D. in Economics from the University of Maryland, College Park and a BA in Economics from the University of New Orleans.

Rose Barnabic joined the Business Development group at Andrew Davidson & Co., Inc. in the Fall of 2012.  Andrew Davidson & Co. provides consulting services and proprietary prepayment, credit, and valuation models to the institutional fixed income markets.

Rose began her career in the mortgage business with Lehman Brothers’ Mortgage Research Group enhancing Lehman’s proprietary structuring analytics, conducting prepayment studies, and structuring new issue Agency and Non-Agency CMOs as well as ABS private placements.  She performed similar work for Nomura Securities’ MBS Sales & Trading desk before joining the Depository Trust and Clearing Corporation as Market Risk Manager.  While at DTCC, she established a framework for monitoring the risk and value of member firms’ collateral, instituted a new methodology for defining each member’s minimum capital contribution, and successfully led the firm through multiple regulatory audits.

She has also held various positions in Contract Finance, Corporate Finance and Operations with firms such as JP Morgan Chase and Vectors Opportunity Fund, an Andrew Davidson & Co affiliate.

Rose holds a BS degree in Mechanical Engineering from Lehigh University and an MBA in Finance from New York University.

© 2017 Andrew Davidson & Co., Inc.