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Miklós Vörös

Miklós Vörös

Executive Director, Securitized Products Research

Miklós Vörös is an Executive Director, leading a team implementing and improving collateral and valuation models in the US Agency, and European Securitization space. Miklós holds an MSc in computational physics, from Budapest University of Technology and Economics.

Research and Insights

Articles by Miklós Vörös

    Higher Agency Loan-Size Limit: A Booster Shot in ARMs?

    4 mins read Blog | Jan 10, 2022 | László Ábel Somlai , Miklós Vörös , Yihai Yu

    Securitizations for U.S. agency adjustable-rate mortgages have declined since the 2008 global financial crisis. But could a loan-limit increase by the government-sponsored enterprises, boost issuance of agency-ARM mortgage-backed securities?

    A New COVID-19 Regime for MBS?

    5 mins read Blog | Feb 17, 2021 | Yihai Yu , Miklós Vörös

    In 2020, the Federal Reserve’s purchases of mortgage-backed securities, low interest rates, mortgage-underwriting policy changes and technology advancements led to a historic refinance frenzy and posed an unprecedented challenge for MBS risk management.

    European securitization at the regulatory crossroads

    Blog | Jun 17, 2019 | Miklós Vörös

    Have new European Union reforms clouded the future of the securitization market in Europe?

    More Stable Analytics for Modelling TBA Agreements

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

    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

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

    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

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

    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

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

    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.

    Technical Note - Andrew Davidson Prepayment Model Tuning File Update - April 2013

    Report | Apr 17, 2013 | Miklós Vörös , András Bohák , Attila Agod

    RiskManager uses the Andrew Davidson & Company (AD&Co) VECTORS prepayment model for mortgage-backed securities; MSCI offers the AD&Co recommended model settings, and releases a Technical Note as the recommendations change.  On Thursday, December 6, 2012, MSCI updated the tuning files associated with the residential mortgage-backed security (RMBS) prepayment models in the RiskServer production environment.  This Technical Note summarizes the changes in collateral behavior...