Strategy Corner will help fill the current void in big-picture mortgage research produced by the dealer community. Analysts at AD&Co have extensive experience in research, trading, quantitative methods, and risk management. With the addition of Strategy Corner, AD&Co extends its regularly published research efforts from model-related insights to monthly commentary that analyzes longer-term phenomenon impacting fundamental investment strategies. As appropriate, AD&Co will host webinars to discuss selected papers in greater depth with extensive Q&A sessions to encourage feedback and solicit the exchange of ideas.
The first webinar is scheduled for Tuesday, November 9th, 2010 from 1:00pm-2:00pm and will address AD&Coâs recent Strategy Corner, Eliminating The Reliance on Ratings for Bank RBC: Alternatives and Non-Agency MBS Examples from Practice. The discussion will include an examination of concentration ratios, the Basel II supervisory formula for securitization exposures, as well as AD&Coâs recommended multi-scenario cash flow generation-based expected shortfall approach.
Some of the Strategy Corner articles that have already been published in the Pipeline include:
â¢ Quantitative Measures of Risk and Ratings: Evaluating SEMT 2010-H1 Versus Prime and Benchmark Pools
â¢ Using Scenario Analysis in Uncertain Times
â¢ Beware the Bear Flattener
â¢ Analyzing the Impact of Principal Forgiveness Mods
â¢ Origination Risk in the Mortgage Securitization Process: An Analysis of Alternate Policies
â¢ The Composition of the Mortgage Finance Market and the Consequences for Reform
â¢ Alternatives to the Use of Ratings in RBC Guidelines: Upcoming ANPR Response