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:
04-19-1994
Category:
General Commentary
Author:
AD&Co Staff
Title: IO Performance: Actual vs Theoretical
Date:
04-12-1994
Category:
Prepayment Models
Author:
AD&Co Staff
Title: Model Parameters and MBS Value
Date:
04-05-1994
Category:
General Commentary
Author:
AD&Co Staff
Title: Managing the Risk of Leveraged Mortgage Portfolios
Date:
03-29-1994
Category:
General Commentary
Author:
AD&Co Staff
Title: Mortgage Analysis and The Environment
Date:
03-22-1994
Category:
Collateralized Mortgage Obligations
Author:
AD&Co Staff
Title: Extension Risk of PACs After Recent Whipsaw
Date:
03-15-1994
Category:
Option-Adjusted Spread
Author:
AD&Co Staff
Title: Duration Drift of Mortgages
Date:
03-08-1994
Category:
General Commentary
Author:
AD&Co Staff
Title: MBS Risk: Actual vs. Theoretical
Date:
03-01-1994
Category:
Adjustable-Rate Mortgages
Prepayment Models
Author:
AD&Co Staff
Title: ARM Prepayments
Date:
02-15-1994
Category:
General Commentary
Author:
AD&Co Staff
Title: Recent Changes in Value of Premium MBS
Date:
02-08-1994
Category:
Collateralized Mortgage Obligations
Author:
AD&Co Staff
Title: PAC Windows and Yield Curve Shifts
Date:
02-02-1994
Category:
General Commentary
Valuation
Author:
AD&Co Staff
Title: MBS Spreads and Relative Value
Date:
01-25-1994
Category:
General Commentary
Author:
AD&Co Staff
Title: Hedge Comparison: Mortgage Options Vs Treasury Options
Date:
01-18-1994
Category:
Collateralized Mortgage Obligations
Author:
AD&Co Staff
Title: Negative Duration Floaters
Date:
01-11-1994
Category:
Collateralized Mortgage Obligations
Author:
AD&Co Staff
Title: Leveraging with Inverse IOs
Date:
01-04-1994
Category:
General Commentary
Author:
AD&Co Staff
Title: Mortgage Market 1994 Outlook
Date:
12-21-1993
Category:
General Commentary
Author:
AD&Co Staff
Title: S&P Risk Ratings for Bonds Funds
Date:
12-14-1993
Category:
Collateralized Mortgage Obligations
Author:
AD&Co Staff
Title: Using CPR Vectors to Evaluate Intermediate PACs
Date:
12-07-1993
Category:
Collateralized Mortgage Obligations
Author:
AD&Co Staff
Title: Short Premium PACs Vulnerable to Curve Flattening
Date:
11-30-1993
Category:
Collateralized Mortgage Obligations
Author:
AD&Co Staff
Title: Pricing of CMOs for Forward Settlement
Date:
11-23-1993
Category:
General Commentary
Author:
AD&Co Staff
Title: Controlling the Curve Risk of MBS
Date:
11-16-1993
Category:
General Commentary
Author:
AD&Co Staff
Title: Low Rates Trigger Re-Examination of Valuation Tools
Date:
11-09-1993
Category:
General Commentary
Author:
AD&Co Staff
Title: Shift Analysis Quantifies Curve Risk of Premium MBS
Date:
11-02-1993
Category:
Collateralized Mortgage Obligations
Author:
AD&Co Staff
Title: CMO Floaters: Valuing the Components
Date:
10-12-1993
Category:
Collateralized Mortgage Obligations
Author:
AD&Co Staff
Title: Value in Broken PACs Backed by Premiums
Date:
10-05-1993
Category:
General Commentary
Prepayment Models
Author:
AD&Co Staff
Title: How To Use PSAs: Don't!
Date:
09-28-1993
Category:
Option-Adjusted Spread
Author:
AD&Co Staff
Title: Prepayment Convexity
Date:
09-21-1993
Category:
General Commentary
Author:
AD&Co Staff
Title: Hedge Value and Risk of Premiums
Date:
08-31-1993
Category:
Collateralized Mortgage Obligations
Option-Adjusted Spread
Author:
AD&Co Staff
Title: OAS for IOs: Tool or Trap
Date:
08-24-1993
Category:
General Commentary
Author:
AD&Co Staff
Title: Mortgage Index Under Performance Reexamined
Date:
08-17-1993
Category:
General Commentary
Author:
AD&Co Staff
Title: Value and Risk Measures Used in Quant. Persp.
Date:
08-10-1993
Category:
General Commentary
Author:
AD&Co Staff
Title: Analyzing MBS Prepayments: Coupon Difference Vs. Ratio