BondEdge Prepayment Model Enhancements

Dear Fixed Income Professional:

We invite you to register for access to our recently recorded web seminar: BonfEdge Prepayment Model Enhancements

Recording Info:
Topic:
Recorded:
Duration:
Cost:
BondEdgeŽ Prepayment Model Enhancements
October 22, 2009
1 hour
Free
Register Now!
Recording Description:

This web seminar recording discusses the methodologies employed in the BondEdge Prepayment Model for Fixed Rate Mortgages (FRMs) and Adjustable Rate Mortgages (ARMs), as well as recent market developments from the 2008 credit crisis.

Topics covered during this session:

  • A review of the foundation of the BondEdge Prepayment Model:
    • Refinancing
    • Relocation
    • Turnover
    • Seasoning (i.e., the effect of the passage of time on the projected refinancing response)
    • Burnout (i.e., the effect of prior history on the projected refinancing response)
    • The impact of loan level data (e.g., geography, loan size) and home price appreciation (or depreciation)
  • A discussion of how the credit crisis has affected the relationship between primary and secondary mortgage spreads, loan availability and borrower behavior
  • An overview of the impact of the prepayment model parameter updates, expected November 2009
  • A preview of BondEdge Prepayment Model Developments in 2010 and beyond
    • Dynamically Linked Library (DLL) implementation of the Prepayment Models
    • Changes being made for the prepayment and risk characteristics of structured deals (i.e., CMO and ABS collateral)
    • Separation of voluntary versus involuntary prepayments for whole loan and asset backed collateral

Register yourself and/or the appropriate colleague today!

Panelist Info:

William Burns, Ph.D.William Burns, Ph.D.
Senior Vice President, Director of Quantitative Research
William Burns, Ph.D., is Director of Quantitative Research at Interactive Data Fixed Income Analytics. In this role, Dr. Burns leads the Research team that develops and supports the quantitative models (e.g., term structure, option and prepayment) as well as all security-level analytics integral to our bond- and portfolio-level product offerings and services. Prior to joining Interactive Data Fixed Income Analytics in 1996, Dr. Burns served as Adjunct Professor of Mathematics for Chapman University and the University of California Irvine. Dr. Burns holds a Ph.D. in Applied Mathematics from the University of California, Irvine.

Tristan EgualadaTristan Egualada, Ph.D.
Senior Quantitative Analyst
Tristan Egualada, Ph.D., is a Senior Quantitative Analyst at Interactive Data Fixed Income Analytics. Dr. Egualada develops and supports the quantitative models (e.g., prepayment model), and bond/portfolio-level analytics essential to our product provisions and services. Dr. Egualada joined Interactive Data Fixed Income Analytics in 2007. He received his Ph.D. in Applied Mathematics from the University of California, Irvine.

Sincerely,
Jeffrey FoleyJeffrey Foley
Vice President, Director of Analytic Solutions
Interactive Data Fixed Income Analytics

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