The Risk Roundtable presents Chicago Booth alumnus Andrew Davidson on the subject of GSE reform and private capital in the mortgage market.
Andrew Davidson (Speaker)
President and Founder, Andrew Davidson & Co
Andrew Davidson is a financial innovator and leader in the development of financial research and analytics. He has worked extensively on mortgage-backed securities product development, valuation and hedging. He is president of Andrew Davidson & Co., Inc., a New York firm specializing in the application of analytical tools to investment management, which he founded in 1992. Andrew Davidson & Co., Inc. turns mortgage data into investment insight. The firm created Vectors™ Analytics, a set of proprietary tools including the LoanDynamics™ Model for credit-sensitive mortgage securities, prepayment and option-adjusted spread (OAS) models for fixed-rate mortgages, adjustable-rate mortgages, collateralized mortgage obligations (CMOs), and asset-backed securities (ABS). Over 150 financial institutions depend on Vectors™ Analytics to help manage risk and value securities. The company also provides consulting advice to financial institutions in the development and implementation of investment management and risk management strategies. They also work on a variety of fixed income trading and valuation analyses. Customers of the firm include some of the largest and most sophisticated financial institutions in the industry. For six years Andrew worked at Merrill Lynch, where he was a Managing Director in charge of a staff of 60 financial and system analysts. In this role, he produced research reports and sophisticated analytical tools including prepayment and option-adjusted spread models, portfolio analysis tools, and was also responsible for the development of trading and risk management systems for the mortgage desk covering ARMs, CMOs, pass-throughs, IOs/POs and OTC options. He is co-author of the book Securitization: Structuring and Investment Analysis and Mortgage-Backed Securities, Investment Analysis & Valuation Techniques. He has written numerous articles that have appeared in The Handbook of Mortgage-Backed Securities, Mortgage-Backed Securities: New Applications and Research and The Journal of Real Estate Finance and Economics. Andrew was previously a financial analyst in Exxon’s Treasurer’s Department. He received an MBA in Finance at the University of Chicago and a BA in Mathematics and Physics at Harvard.
Peter Ciecka, '04