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:
05-07-1996
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
Date:
04-16-1996
Category:
Adjustable-Rate Mortgages
Author:
AD&Co Staff
Title: Life Caps Exacerbate ARM Price Declines
Date:
04-09-1996
Category:
Prepayment Models
Author:
AD&Co Staff
Title: Choosing Prepayment Assumptions As Rates Change
Date:
04-02-1996
Category:
General Commentary
Author:
AD&Co Staff
Title: Recent Changes in Mortgage Index Characteristics
Date:
03-26-1996
Category:
Option-Adjusted Spread
Valuation
Author:
AD&Co Staff
Title: Current Value of IO Strips
Date:
03-19-1996
Category:
Collateralized Mortgage Obligations
Prepayment Models
Author:
AD&Co Staff
Title: Potential Prepayment Whipsaw and Impact on CMOs
Date:
03-12-1996
Category:
Servicing
Valuation
Author:
AD&Co Staff
Title: Total Return of Servicing
Date:
03-05-1996
Category:
Collateralized Mortgage Obligations
Author:
AD&Co Staff
Title: Risk/Return Alternatives in CMO Market
Date:
02-27-1996
Category:
Collateralized Mortgage Obligations
Author:
AD&Co Staff
Title: Trends in New CMO Issues
Date:
02-20-1996
Category:
General Commentary
Author:
AD&Co Staff
Title: Hedge Ratios for Fixed Rate Pass-Throughs
Date:
02-13-1996
Category:
Cost of Funds
Author:
AD&Co Staff
Title: Cost of Funds Index in Transition
Date:
02-06-1996
Category:
Option-Adjusted Spread
Valuation
Author:
AD&Co Staff
Title: Relative Value in IO Market: GNMAs vs FNMAs
Date:
01-30-1996
Category:
General Commentary
Author:
AD&Co Staff
Title: Mortgage Pipeline Hedging Policy
Date:
01-23-1996
Category:
Servicing
Author:
AD&Co Staff
Title: Hedging Alternatives for Servicing
Date:
01-16-1996
Category:
Prepayment Models
Author:
AD&Co Staff
Title: Prepayment Modeling and Burnout
Date:
01-09-1996
Category:
Adjustable-Rate Mortgages
Author:
AD&Co Staff
Title: Significance of Life Cap in ARMs
Date:
01-02-1996
Category:
General Commentary
Author:
AD&Co Staff
Title: Outlook for 1996: Risk Management and the Balance of Power
Date:
12-19-1995
Category:
Prepayment Models
Author:
AD&Co Staff
Title: The Well-Tempered Prepayment Model
Date:
12-12-1995
Category:
Valuation
Author:
AD&Co Staff
Title: Partial Curve Inversion: Implications on Value and Strategy
Date:
12-05-1995
Category:
Servicing
Author:
AD&Co Staff
Title: The Effect of Prepayment Float Income on Servicing Value
Date:
11-28-1995
Category:
Prepayment Models
Author:
AD&Co Staff
Title: Potential Prepayment Surge: A Repeat of 1993?
Date:
11-21-1995
Category:
Option-Adjusted Spread
Servicing
Author:
AD&Co Staff
Title: OAS Analysis of Mortgage Servicing and IO Strips
Date:
11-14-1995
Category:
Valuation
Author:
AD&Co Staff
Title: Value of Strips and Curve Shape
Date:
11-07-1995
Category:
Adjustable-Rate Mortgages
Servicing
Author:
AD&Co Staff
Title: ARM Servicing Valuation
Date:
10-31-1995
Category:
Option-Adjusted Spread
Author:
AD&Co Staff
Title: Managing Mortgage Duration in Volatile Environments
Date:
10-24-1995
Category:
General Commentary
Author:
AD&Co Staff
Title: Are Current Coupon Mortgages Cheap
Date:
10-18-1995
Category:
FLUX
Author:
AD&Co Staff
Title: FLUX Special Edition: A Measure of CMO Cash Flow Volatility
Date:
10-17-1995
Category:
General Commentary
Author:
AD&Co Staff
Title: Forecasting Current Coupon Mortgage Spreads
Date:
10-10-1995
Category:
Adjustable-Rate Mortgages
Valuation
Author:
AD&Co Staff
Title: Effect of Prepayment Volatility on ARM Value
Date:
10-03-1995
Category:
Option-Adjusted Spread
Author:
AD&Co Staff
Title: OAS Analysis
Date:
09-26-1995
Category:
General Commentary
Author:
AD&Co Staff
Title: Leveraging and Hedging with Futures/Forward Markets
Date:
09-19-1995
Category:
Adjustable-Rate Mortgages
Author:
AD&Co Staff
Title: ARM Analysis Using Recursive Modeling
Date:
09-12-1995
Category:
Valuation
Author:
AD&Co Staff
Title: Scenario Analysis and Mortgage Servicing Valuation
Date:
08-29-1995
Category:
Valuation
Author:
AD&Co Staff
Title: 15-Year Pass-Throughs: Our Standard Value and Risk Measures
Date:
08-22-1995
Category:
Servicing
Author:
AD&Co Staff
Title: Mortgage Servicing: The Decison to Retain or Sell
Date:
08-15-1995
Category:
Option-Adjusted Spread
Author:
AD&Co Staff
Title: OAS Analysis of Balloons and Value Implications
Date:
08-08-1995
Category:
Valuation
Author:
AD&Co Staff
Title: Impact of Recent Shift in Volatility on MBS Value
Date:
08-01-1995
Category:
Prepayment Models
Author:
AD&Co Staff
Title: New Prepayment Model Parameters
Date:
07-25-1995
Category:
Prepayment Models
Author:
AD&Co Staff
Title: Impact of Prepayment Responsiveness to Rate Changes
Date:
07-18-1995
Category:
Adjustable-Rate Mortgages
Author:
AD&Co Staff
Title: Current Prepayment Risk of Premium ARMs
Date:
07-11-1995
Category:
General Commentary
Author:
AD&Co Staff
Title: The Investment Management Technology Audit
Date:
06-27-1995
Category:
Adjustable-Rate Mortgages
Option-Adjusted Spread
Author:
AD&Co Staff
Title: Key Rate Duration Analysis of ARMs
Date:
06-20-1995
Category:
General Commentary
Author:
AD&Co Staff
Title: Current Opportunity: Hedge with Futures
Date:
06-13-1995
Category:
General Commentary
Author:
AD&Co Staff
Title: Recent Performance of IOs
Date:
06-06-1995
Category:
General Commentary
Author:
AD&Co Staff
Title: Managing Mortgages on Wall Street
Date:
05-30-1995
Category:
General Commentary
Author:
AD&Co Staff
Title: Methods for Measuring Portfolio Risk
Date:
05-23-1995
Category:
Prepayment Models
Author:
AD&Co Staff
Title: Our Prepayment Model Now on Bloomberg!
Date:
05-16-1995
Category:
General Commentary
Author:
AD&Co Staff
Title: Mortgage Index: Leading Now But May Lag