Quantitative Perspectives

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Quantitative Perspectives (QP) is an independent commentary in which Andrew Davidson & Co., Inc. examines topical issues related to the mortgage and derivatives markets. These publications provide an in-depth look into our models.

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Date:
05-06-1997
Category:
General Commentary
Author:
AD&Co Staff
Title: Risk Management Systems for Money Managers
Date:
04-29-1997
Category:
Cost of Funds
Author:
AD&Co Staff
Title: The 11th District Cost of Funds Model
Date:
04-22-1997
Category:
General Commentary
Author:
AD&Co Staff
Title: Benefits of Mortgage Scoring
Date:
04-15-1997
Category:
Adjustable-Rate Mortgages
Author:
AD&Co Staff
Title: Volatility and Cap Values for ARMs
Date:
04-08-1997
Category:
General Commentary
Author:
AD&Co Staff
Title: Calibrating Risk Management Systems
Date:
04-01-1997
Category:
Option-Adjusted Spread
Author:
AD&Co Staff
Title: OAS Based Pricing of Inverse Floaters
Date:
03-25-1997
Category:
Prepayment Models
Author:
AD&Co Staff
Title: Prepayment Model Performance Report
Date:
03-18-1997
Category:
Option-Adjusted Spread
Author:
AD&Co Staff
Title: OAS All Day, Every Day
Date:
03-11-1997
Category:
General Commentary
Author:
AD&Co Staff
Title: New Developments in the Sub-Prime Market
Date:
03-04-1997
Category:
Adjustable-Rate Mortgages
Author:
AD&Co Staff
Title: Impact of Prepayments on ARM Collars
Date:
02-25-1997
Category:
Prepayment Models
Author:
AD&Co Staff
Title: Revised Prepayment Model Parameters
Date:
02-18-1997
Category:
General Commentary
Author:
AD&Co Staff
Title: Labor vs. Capital and Now Talent
Date:
02-11-1997
Category:
General Commentary
Author:
AD&Co Staff
Title: Fair Value of Low Balance Loans
Date:
02-04-1997
Category:
Adjustable-Rate Mortgages
Prepayment Models
Author:
AD&Co Staff
Title: Prepayment Model for Adjustable Rate Mortgages
Date:
01-28-1997
Category:
Real Estate Investment Trust
Author:
AD&Co Staff
Title: Economics of Mortgage REITS
Date:
01-21-1997
Category:
Option-Adjusted Spread
Author:
AD&Co Staff
Title: Prepayment Duration: A Refined Approach
Date:
01-14-1997
Category:
Adjustable-Rate Mortgages
Author:
AD&Co Staff
Title: Hedging ARMS with Yield Curve Futures
Date:
01-07-1997
Category:
General Commentary
Author:
AD&Co Staff
Title: Outlook 1997: From TRR to ROE
Date:
12-17-1996
Category:
Adjustable-Rate Mortgages
Author:
AD&Co Staff
Title: Update of the ARM Market
Date:
12-10-1996
Category:
Prepayment Models
Author:
AD&Co Staff
Title: Prepayment Model for Relocation Loans
Date:
12-03-1996
Category:
General Commentary
Author:
AD&Co Staff
Title: Debating the Size of the B/C Market
Date:
11-26-1996
Category:
Option-Adjusted Spread
Valuation
Author:
AD&Co Staff
Title: A Comparative Look at Mean Reversion in Term Structure Models
Date:
11-19-1996
Category:
Option-Adjusted Spread
Servicing
Author:
AD&Co Staff
Title: Partial Duration Analysis of Mortgage Servicing
Date:
11-12-1996
Category:
General Commentary
Author:
AD&Co Staff
Title: A look at S&P New Credit Risk Analysis System
Date:
11-05-1996
Category:
General Commentary
Author:
AD&Co Staff
Title: Changing Risk Profiles Under Falling Rates
Date:
10-29-1996
Category:
Option-Adjusted Spread
Author:
AD&Co Staff
Title: MBS Partial Durations: Forward or Spot?
Date:
10-22-1996
Category:
Prepayment Models
Author:
AD&Co Staff
Title: Modeling Prepayments Using Hazard Functions: A Discussion
Date:
10-15-1996
Category:
Option-Adjusted Spread
Valuation
Author:
AD&Co Staff
Title: Adding Convexity: Writing MBS calls and Selling Treasury Calls
Date:
10-01-1996
Category:
General Commentary
Author:
AD&Co Staff
Title: Current Environment for Mortgages in Perspective
Date:
09-24-1996
Category:
Option-Adjusted Spread
Valuation
Author:
AD&Co Staff
Title: Carry vs Convexity: Framework for Relative Value of MBS
Date:
09-17-1996
Category:
Option-Adjusted Spread
Author:
AD&Co Staff
Title: Constant OAS and Modeling Error
Date:
09-10-1996
Category:
Option-Adjusted Spread
Author:
AD&Co Staff
Title: Value and Risk Measures Revisited
Date:
08-27-1996
Category:
General Commentary
Author:
AD&Co Staff
Title: Hedging Jumbo Whole Loans with Agency Securities
Date:
08-20-1996
Category:
General Commentary
Author:
AD&Co Staff
Title: Risk Comparison: Whole Loans vs. Agencies
Date:
08-13-1996
Category:
Adjustable-Rate Mortgages
Cost of Funds
Author:
AD&Co Staff
Title: Current Value in COF-Indexed ARMS
Date:
08-06-1996
Category:
General Commentary
Author:
AD&Co Staff
Title: The Changing Face of the B/C Market
Date:
07-30-1996
Category:
General Commentary
Author:
AD&Co Staff
Title: Stocks and Bonds
Date:
07-23-1996
Category:
Adjustable-Rate Mortgages
Valuation
Author:
AD&Co Staff
Title: Value Comparison of 3/1 and 1/1 ARMS
Date:
07-16-1996
Category:
Servicing
Author:
AD&Co Staff
Title: Total Return Analysis of Servicing and IOs
Date:
07-09-1996
Category:
Option-Adjusted Spread
Author:
AD&Co Staff
Title: Analysis of Black-Derman-Toy (BDT) Model in OAS Models
Date:
07-02-1996
Category:
General Commentary
Author:
AD&Co Staff
Title: Option Hedging Strategy: Rolling Expiration Dates
Date:
06-25-1996
Category:
Option-Adjusted Spread
Author:
AD&Co Staff
Title: OAS Trends for Pass-Throughs
Date:
06-18-1996
Category:
Value-at-Risk
Author:
AD&Co Staff
Title: Value at Risk for Investment Portfolios
Date:
06-11-1996
Category:
Prepayment Models
Author:
AD&Co Staff
Title: Evaluating Prepayments on Whole Loans vs. Agencies
Date:
06-04-1996
Category:
Servicing
Author:
AD&Co Staff
Title: Reduced Servicing Fee Impact on the Value of Pass-throughs
Date:
05-28-1996
Category:
General Commentary
Author:
AD&Co Staff
Title: Option Hedging Strategy: Rolling Strikes on Options
Date:
05-14-1996
Category:
Option-Adjusted Spread
Author:
AD&Co Staff
Title: Comparison of Short Duration Alternatives
Date:
05-07-1996
Category:
Option-Adjusted Spread
Prepayment Models
Author:
AD&Co Staff
Title: Sensitivity to Tuning of Prepayment Model
Date:
04-30-1996
Category:
Adjustable-Rate Mortgages
Option-Adjusted Spread
Author:
AD&Co Staff
Title: Key Rate Duration to Measure Curve Risk of ARMs
Date:
04-23-1996
Category:
Servicing
Author:
AD&Co Staff
Title: Servicing Securitization: An Experimental Program