Extended Viewer

David Zhang

David Zhang

Managing Director and Head of Securitized Products Research

David Zhang is Managing Director and Head of Securitized Products Research, where he oversees a team responsible for developing models and analytics to support investment management, risk management and regulatory compliance. Previously, David was Managing Director and Head of Securitized Products Modeling and Analytics at Credit Suisse. He also has worked at Freddie Mac, CIBC Oppenheimer and the University of Chicago. David has a Ph.D. from Princeton University.

Research and Insights

Articles by David Zhang

    Housing-Bubble Déjà Vu

    5 mins read Blog | Aug 10, 2021 | Joy Zhang , David Zhang

    The U.S. in the past year recorded the highest national house-price appreciation in recent decades. Does the run-up in home prices represent housing-bubble déjà vu? And what can MBS investors do to assess their mortgage credit risk?

    US House Price Projections from the Economic Impact of the Coronavirus

    Report | Apr 30, 2021 | David Zhang , Joy Zhang , Yihai Yu

    Could coronavirus-induced economic shocks hurt U.S. house prices as much as the 2008 global financial crisis did? This article identifies four drivers that could produce much milder house-price depreciation this time. 

    Navigating market volatility with agency MBS models

    Blog | Feb 26, 2020 | David Zhang

    We performed our annual review of MSCI’s model for managing prepayment and interest-rate risk in agency mortgage-backed securities. How closely did the model’s forecasts anticipate what we observed in the market?

    MBS prepayment modeling: AI 1, Humans 0?

    Blog | Sep 27, 2019 | David Zhang , Joy Zhang

    Artificial intelligence has broken through in fields previously dominated by humans. Could AI surpass humans in modeling the complex risks of agency mortgage-backed securities?

    Fed policy, the credit cycle and real estate

    Blog | May 28, 2019 | David Zhang , Yihai Yu

    Amid the uncertainty over Federal Reserve policy, investors in commercial real estate (CRE) are confronting asset-allocation challenges and growing concerns about CRE valuation and debt levels, after an extended period of easy credit.

    Credit binge hangovers have historically been a challenge

    Blog | Nov 9, 2018 | David Zhang

    Credit spreads and debt issuance are at historical levels, as credit markets show signs of overheating. History has shown that following an overheated credit market, long-term credit returns have been generally weaker, in absolute terms and relative to U.S. Treasurys; particularly for high yield (HY). Given the intensity of past credit binge hangovers, long-term investors may want to review their current asset allocation strategies.

    Getting Ahead of the Curve: How Taper 2.0 May Affect Bond Returns

    Report | Jul 24, 2017 | David Zhang , Peter Zangari

    How might the Fed’s plan to reduce its bond-buying program affect returns and risk for Treasurys and mortgage-backed securities? After nine years of quantitative easing, the Fed plans to reduce the amount of Treasury and mortgage-back securities it buys every month. The first time the Fed broached this idea, the market responded with a “taper tantrum.” This time, however, the Fed has made clear that it plans to pursue a conservative tapering policy and has communicated its plan more clearly....