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
How Making US Mortgages Portable Could Impact MBS Investors6 mins read Blog | Jun 14, 2023 |
U.S. mortgages are generally not portable. While there would be legal hurdles to overcome to reverse the situation, such a move could benefit not only homeowners, but potentially investors in mortgage-backed securities.
Housing-Bubble Déjà Vu5 mins read Blog | Aug 10, 2021 |
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 CoronavirusResearch Report | Apr 30, 2021 |
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.
US Support for SecuritizationPodcast | Jun 4, 2020 |
We speak with David Zhang, MSCI’s head of research on securitized products, about the Federal Reserve’s efforts to support the securitization market during COVID-19, and how different credit sectors have reacted.
Navigating market volatility with agency MBS modelsBlog | Feb 26, 2020 |
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 |
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 estateBlog | May 28, 2019 |
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 challengeBlog | Nov 9, 2018 |
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 ReturnsResearch Report | Jul 24, 2017 |
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....