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520 Broadway
8th Floor

New York
NY
US

Telephone

212-274-9075

Contact

ilda pozhegu
[email protected]

Risk-Neutral Prepayment Model

We compute optimal tuning parameters to the AD&Co prepayment model that would value all agency MBS flat to agency debentures. This tuned prepayment model is called risk-neutral model. Optimization is performed using TBA prices with market data from the close of every Friday.

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Market Analysis

Our quantitative analysis consists of a weekly prepayment-risk-and-option-adjusted analysis of several agency passthrough markets. The analysis includes current, forward and static prepayment speeds, OAS, prOAS, effective duration/convexity, tuning durations and key-rate durations. Valuation is performed for both “physical” and “risk-neutral” prepayment versions of our model. Market data is from the close of every Friday

Andrew Davidson & Co., Inc.

Andrew Davidson & Co., Inc (AD&Co) is the leading provider of risk analytics and consulting for the mortgage (MBS) and asset-backed securities (ABS) industry. We develop and license prepayment and credit models as well as risk measurement tools that are the benchmark analytics used by top mortgage and commercial banks, insurers, credit unions, broker-dealers and …

Andrew Davidson &Co., Inc. Vectors

Through our VECTORS™ Mortgage Analytics product line, we offer prepayment models for MBS and ABS, a LoanDynamics™ model for credit-sensitive mortgage securities option-adjusted valuation, and risk tools for MBS, ABS and collateralized mortgage obligations (CMOs). In addition, our staff of leading experts in the industry can help you solve your valuation and risk management problems …