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:
05-09-1995
Category:
FLUX
Author:
AD&Co Staff
Title: FLUX: A Sign of Difficulty
Date:
05-02-1995
Category:
Adjustable-Rate Mortgages
Author:
AD&Co Staff
Title: The Impact of Yield Curve Steepening on ARM Pipeline Hedging
Date:
04-25-1995
Category:
General Commentary
Author:
AD&Co Staff
Title: Benchmarking Funds and Risk Analysis
Date:
04-18-1995
Category:
Adjustable-Rate Mortgages
Author:
AD&Co Staff
Title: Hedging ARMs in the Mortgage Pipeline
Date:
04-10-1995
Category:
Adjustable-Rate Mortgages
Author:
AD&Co Staff
Title: Differentiating between Option and Non-option Costs in ARMs
Date:
04-04-1995
Category:
Prepayment Models
Author:
AD&Co Staff
Title: Prepayments of Balloons: Analyzing the Data
Date:
03-28-1995
Category:
Servicing
Author:
AD&Co Staff
Title: Servicing and Production: Quantifying the Natural Hedge
Date:
03-21-1995
Category:
Collateralized Mortgage Obligations
Author:
AD&Co Staff
Title: Inverse IOs and the Effect of Embedded Floors
Date:
03-14-1995
Category:
Prepayment Models
Author:
AD&Co Staff
Title: Effects of Burnout on Risk of Premium Collateral
Date:
03-07-1995
Category:
Adjustable-Rate Mortgages
Author:
AD&Co Staff
Title: Hedging ARMs with Path Dependent Collars
Date:
02-28-1995
Category:
Prepayment Models
Author:
AD&Co Staff
Title: Using Appropriate Prepayment Forecasts
Date:
02-21-1995
Category:
Valuation
Author:
AD&Co Staff
Title: Revisiting Value in Discount FNMAs
Date:
02-14-1995
Category:
Adjustable-Rate Mortgages
Author:
AD&Co Staff
Title: Evaluating ARMs in an Asset/Liability Framework
Date:
02-07-1995
Category:
Option-Adjusted Spread
Author:
AD&Co Staff
Title: Positive Convexity in Deep Discount Mortgages
Date:
01-31-1995
Category:
General Commentary
Author:
AD&Co Staff
Title: Interest Rate Risk of Deposits
Date:
01-24-1995
Category:
General Commentary
Author:
AD&Co Staff
Title: TTIBs: Leveraged Price Volatility vs. Coupon Stability
Date:
01-17-1995
Category:
General Commentary
Author:
AD&Co Staff
Title: Commercial MBS Defaults and Foreclosures
Date:
01-10-1995
Category:
General Commentary
Author:
AD&Co Staff
Title: Sensitivity of IO/POs to Curve Twists
Date:
01-03-1995
Category:
General Commentary
Author:
AD&Co Staff
Title: What's Around the Bend in 1995?
Date:
12-13-1994
Category:
General Commentary
Author:
AD&Co Staff
Title: Impact of Flatter Curve on Yield Enhancing Strategies
Date:
12-06-1994
Category:
General Commentary
Author:
AD&Co Staff
Title: Mortgage Pipeline Fallout Study Methodology
Date:
11-29-1994
Category:
General Commentary
Author:
AD&Co Staff
Title: Wide Amortization Bands Hurt Less
Date:
11-22-1994
Category:
General Commentary
Author:
AD&Co Staff
Title: What a Difference a Year Makes!
Date:
11-15-1994
Category:
Adjustable-Rate Mortgages
Author:
AD&Co Staff
Title: Sensitivity of ARM CAPS to Changing Market Conditions
Date:
11-08-1994
Category:
General Commentary
Author:
AD&Co Staff
Title: The Departure of GEMICO from the Pool Insurance Business
Date:
11-01-1994
Category:
General Commentary
Author:
AD&Co Staff
Title: Valuing Secondary Market Execution Alternatives
Date:
10-25-1994
Category:
FLUX
Author:
AD&Co Staff
Title: FLUX of Combinations May Understate Risk
Date:
10-18-1994
Category:
Option-Adjusted Spread
Author:
AD&Co Staff
Title: Duration of COF-Indexed ARMs
Date:
10-11-1994
Category:
General Commentary
Author:
AD&Co Staff
Title: Risks in Managing Portfolios to a Target Maturity
Date:
10-04-1994
Category:
Cost of Funds
Author:
AD&Co Staff
Title: Trends in the Cost of Funds Index
Date:
09-27-1994
Category:
Valuation
Author:
AD&Co Staff
Title: Value of Discount Pass-throughs
Date:
09-20-1994
Category:
General Commentary
Author:
AD&Co Staff
Title: The Rating of Structured Transactions
Date:
09-13-1994
Category:
General Commentary
Author:
AD&Co Staff
Title: Capital Budgeting for Financial Institutions
Date:
08-30-1994
Category:
General Commentary
Author:
AD&Co Staff
Title: Strategies for Deleveraging Mortgage Portfolios
Date:
08-23-1994
Category:
General Commentary
Author:
AD&Co Staff
Title: Risks of Mismatched Treasury Floaters
Date:
08-16-1994
Category:
FLUX
Author:
AD&Co Staff
Title: FLUX for Floaters
Date:
08-09-1994
Category:
General Commentary
Author:
AD&Co Staff
Title: Commercial MBS: An Introduction
Date:
08-02-1994
Category:
Adjustable-Rate Mortgages
Author:
AD&Co Staff
Title: Managing ARMs: Income and Market Value Risk
Date:
07-26-1994
Category:
Prepayment Models
Author:
AD&Co Staff
Title: Prepayment Modeling: Our Approach
Date:
07-19-1994
Category:
Collateralized Mortgage Obligations
Author:
AD&Co Staff
Title: Leveraged CMOs: Price Volatility and Value
Date:
07-12-1994
Category:
General Commentary
Author:
AD&Co Staff
Title: An Introduction to MBS Buyups and Buydowns
Date:
06-28-1994
Category:
General Commentary
Author:
AD&Co Staff
Title: Index Risk of Floaters
Date:
06-21-1994
Category:
General Commentary
Author:
AD&Co Staff
Title: Average-life of Kitchen Sink Bonds
Date:
06-14-1994
Category:
General Commentary
Author:
AD&Co Staff
Title: Performance of Scheduled Bonds and PAC IIs
Date:
06-07-1994
Category:
Collateralized Mortgage Obligations
Author:
AD&Co Staff
Title: Performance of Inverse Floaters: Yield Curve Risk
Date:
05-24-1994
Category:
General Commentary
Author:
AD&Co Staff
Title: Multi-Level Risk in Re-REMICs
Date:
05-17-1994
Category:
General Commentary
Author:
AD&Co Staff
Title: What is a Derivative?
Date:
05-10-1994
Category:
General Commentary
Author:
AD&Co Staff
Title: Mortgage Returns Poised For Turnaround
Date:
05-03-1994
Category:
General Commentary
Author:
AD&Co Staff
Title: Re-Adjusting to a Flatter Yield Curve
Date:
04-26-1994
Category:
General Commentary
Author:
AD&Co Staff
Title: Managing IOs: Reinvestment Risk