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Technical Note - Andrew Davidson Prepayment Model Tuning File Update - April 2013
Apr 17, 2013
RiskManager uses the Andrew Davidson & Company (AD&Co) VECTORS prepayment model for mortgage-backed securities; MSCI offers the AD&Co recommended model settings, and releases a Technical Note as the recommendations change. On Thursday, December 6, 2012, MSCI updated the tuning files associated with the residential mortgage-backed security (RMBS) prepayment models in the RiskServer production environment. This Technical Note summarizes the changes in collateral behavior and risk analytics.
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Research authors
- András Bohák, Executive Director, Risk Management and Liquidity Core Research
- Miklós Vörös, Executive Director, Securitized Products Research
- Attila Agod