Extended Viewer

James Sun

Research and Insights

Articles by James Sun

    Modeling Collateralized Loan Obligations with RiskManager

    Research Report | Jul 8, 2016 | Alex Guo, James Sun

    This Product Insight provides an overview of U.S. Collateralized Loan Obligations (CLOs) -- ranging from the underlying collateral, to typical CLO deal structures, and onto current regulations that may influence risk and return. Newcomers can learn about leveraged loans and underlying collateral of a CLO pool, which is required knowledge for this securitized product. More experienced readers can skip this introduction and focus on later sections that discuss CLOs in-depth, including aspects...

    More Stable Analytics for Modelling TBA Agreements

    Research Report | Apr 1, 2016 | Miklós Vörös, Bence Lazarovits, James Sun

    This Technical Note introduces a newly developed approach for TBA selection in RiskManager. The new methodology matches a TBA deal of a given coupon to a specific vintage (origination year) considering four major market factors: liquidity, current production coupon, projected future value, weighted OAS of each origination year and historical prepayment. The new process will run monthly and update the relevant characteristics (WAC, WAM, WALA, etc.) once the agencies have delivered the relevant...

    The Specified Pool Analytics Feature in RiskManager

    Research Report | Aug 5, 2015 | Miklós Vörös, Bence Lazarovits, James Sun

    This Technical Note introduces the Specified Pool Analytics feature, and its tuning methodology used by the Agency Mortgage-Backed Securities collateral model in RiskManager. This new feature takes into account the so-called loan properties, such as original loan size, loan-to-value, FICO score, geographic distribution, property type, loan purpose, and occupancy, to improve the prepayment speed forecasts for specified mortgage pools. The Specified Pool Analytics Tuning methodology is applied...

    Technical Note - MSCI Prepayment Model Tuning Overlay - April 2014

    Research Report | Apr 16, 2014 | Miklós Vörös, James Sun

    This Technical Note introduces the MSCI Tuning Overlay, a new feature offered in RiskManager that allows users to select MSCI preset tuning parameters for the AD&Co Vectors Analytics prepayment model. This new MSCI feature affects the valuation of fixed-rate agency mortgage-backed securities, giving more weight to recent trends in historical prepayment speeds, and provides an additional view on MBS market conditions. The MSCI Tuning Overlay may be used in addition to AD&Co’s...

    Technical Note - Updates to the BarraOne Fixed-Rate Agency MBS Prepayment Model - November 2013

    Research Report | Nov 23, 2013 | Miklós Vörös, James Sun

    BarraOne uses the Barra Prepayment Model for Agency Mortgage-Backed Securities. On October 26, 2013, we updated the parameters of the fixed-rate MBS model to better capture evolving prepayment speeds and analytics. In this Technical Note we compare old and new tunings and look at collateral behavior, concentrating on the resulting risk analytics for mortgage indexes, index constituents, and the TBA coupon stack.