Welcome to The S-Curve
Now you will be able to receive the latest announcements, product updates, and our insights on the mortgage market in real time.
The name of the blog, the S-Curve, is a reflection of our logo and the central feature of our prepayment model. S-curves are seen in nature in many phenomenon, from population growth to prepayment and default models. Our first S-curve, in the early 1990s, used the arctangent function, then piece-wise linear functions, and evolved over time to be more complex and vary by FICO, loan size and LTV. This evolution encapsulates both the timeless nature of fundamental relationships and constant innovation to describe them better over time.
We hope you find the information useful and we look forward to your feedback.
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Andrew Davidson & Co., Inc. (AD&Co) is pleased to announce the first release of the Auto LoanDynamics Model (AutoLDM).Products
The LDM v3.0.2 library adds AutoLDM to the v3.0.1 library.
Key benefits include:
- AutoLDM is a loan-level model that produces monthly default, prepayment, severity, balance, and delinquency projections.
- The projections are sensitive to individual borrower attributes (e.g., credit score, contract rate, loan term, delinquency status) and vehicle characteristics (e.g., vehicle age, type, new/used).
- The model utilizes a delinquency state transition framework to model the migration of the borrower conditional on their attributes and the unemployment projections.
- AutoLDM covers the full credit spectrum of loans from subprime through prime borrowers.
- Extensive support of AutoLDM is available from experienced modelers.
- Model validation documentation is available.
AutoLDM is available via the LDM library and through the AutoKinetics application. For a full list of updates, read our LoanDynamics Model v3.0.2 Release Notes.
We are working closely with our third-party vendors on the integration of this release into their platform. For more information about the availability of this release through your vendor system, please contact michelle@ad-co.com. For all other requests, please contact support@ad-co.com.
Release notes for all our products are available at https://www.ad-co.com/support/release-notes.
To access AutoLDM demo on-demand, please click here.
The S-Curve Archives
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ThoughtsWe’re excited to announce our latest Quantitative Perspectives providing in-depth insights into current market trends and advanced valuation techniques. This publication offers valuable information for mortgage market participants and those involved in credit risk transfer transactions.
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PodcastTune in to Laura Silberg's interview with Andrew Davidson, Eknath Belbase and Alex Levin as they discuss their latest Quantitative Perspectives, our independent commentary series, titled
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ThoughtsAs providers of mortgage models for financial institutions, Andrew Davidson & Co., Inc. (AD&Co) enables clients to validate their use of our models and offers documentation describing the conceptual framework of the models, back-testing results, and sample forecasts under a variety of economic conditions. We also work with analytics providers who have incorporated our models to ensure that the models works as intended.
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ThoughtsWe’re excited to announce two new Quantitative Perspectives that provide in-depth insights into current market trends and advanced valuation techniques. These papers offer valuable information for mortgage market participants and those involved in credit risk transfer transactions.
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EventsAndrew Davidson & Co. Inc. (AD&Co) proudly sponsored the Information Management Network (IMN)’s 10th Annual Mortgage Servicing Rights (MSR) Forum, held November 21 - 22, 2024 at the New York Marriott at Brooklyn Bridge.
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Podcast
Tune in to Michelle Stepien Breier's interview with Alex Levin & Matteo Caracciolo-King as they discuss their latest Pipeline article “AD&Co Updates its Home Price Index Model.” The interview highlights key points from the article as they share recent updates to the HPI3 model.
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ThoughtsWith the increasing volumes of Synthetic Risk Transfer (SRT) and Credit Risk Transfer (CRT) along with the discussion of BASEL III, we thought it would be useful to re-issue our comment letter to FHFA on the capital treatment of Credit Risk Transfer.
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PodcastRecently, senior credit modeler, Daniel Swanson had the pleasure of speaking with Rob Kessel from the Panoramic Capital Academy podcast titled, “Modeler’s Perspective on Prepayment Modeling.” T
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ThoughtsThe earliest paper we found examining the impact of climate risks on house prices was from 2017, which found a relationship between elevation/sea level rise and house price differences.[1]
We built our climate-conditioned HPA model in 2022 based on the idea that an increase in insurance costs would impact house prices (something we had not studied yet) in the same way that an increase of the same size in mortgage rates would impact house prices (something that we were quite familiar with).
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NewsAndrew Davidson & Co., Inc (AD&Co) is pleased to announce a new alliance with Mortgage Capital Trading, Inc. (MCT), a leading provider of mortgage capital market solutions.