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Miklós Vörös

Miklós Vörös
Executive Director, Securitized Products Research

About the Contributor

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.

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Contributions by Miklós Vörös

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  1. BLOG

    A New COVID-19 Regime for MBS? 

    Feb 17, 2021 Yihai Yu , Miklós Vörös

    Fixed Income , Integrated Risk Management

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    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.

  2. PAPER

    Agency MBS Current Coupon Calculation from TBA Prices 

    Mar 12, 2020 Yihai Yu , David Zhang , Miklós Vörös

    Factor and Risk Modeling , Risk Management

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    Current coupon yield ("cc") is a headline indicator of Agency MBS performance, and also the starting point of mortgage rate diffusion for option pricing. Although MSCI can access current coupon data from Reuters, it has its own limitations that the proposed solution is able to overcome. This specification describes MSCI's current coupon marking methodology for the relevant agency pass-through types based on TBA prices. The methodology is implemented in python and can be run as a daily process to feed a database with the most recent current coupon values.

  3. BLOG

    European securitization at the regulatory crossroads 

    Jun 17, 2019 Miklós Vörös

    Fixed Income , Risk Management

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

  4. PAPER

    Technical Note - More Stable Analytics for Modelling TBA Agreements 

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

    Risk Management , Asset Pricing and Valuation

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    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 monthly MBS updates. This will result in a stable set of statistics during a given a month. The market price will be updated on a daily basis for liquid TBA programs.

    Why is this topic of interest?
    TBAs are the most liquid instruments in the agency Mortgage-Backed Security (MBS) market. Accurate TBA analytics are crucial as these instruments serve as reference points for other securitized product instruments.

    Who should read this paper?
    Risk managers who seek an additional view on TBA properties.

  5. PAPER

    The Specified Pool Analytics Feature in RiskManager 

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

    Risk Management , Asset Pricing and Valuation

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    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 to bring the prepayment speed forecasts closer to observed historical speeds during the last three months for specified pools. The new tunings affect the valuation of fixed-rate agency pass-through securities. The Specified Pool Analytics feature is only applicable to the UsMBS model.
    This paper also shows the effect of the Specified Pool Analytics combined with its tunings on the modeled prepayment speeds and effective durations for few examples.

    Why is this topic of interest?
    Fine tuning the prepayment projections underlying MBS valuation are in the center of attention during market changes. The Specified Pool Analytics Feature offers easy to use adjustments for Specified Pools' prepayment speeds.

    Who should read this paper?
    Risk managers who seek an additional view on prepayments, or who are already using MSCI Tuning Overlay in RiskManager to improve prepayment speed forecasts for agency RMBS.

  6. PAPER

    Technical Note - MSCI Prepayment Model Tuning Overlay - April 2014 

    Apr 16, 2014 James Sun , Miklós Vörös

    Risk Management , Asset Pricing and Valuation

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    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 recommended tunings, and can be freely combined with user-defined AD&Co tunings. 

  7. PAPER

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

    Nov 23, 2013 Miklós Vörös , James Sun

    Risk Management

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    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.

  8. PAPER

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

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

    Risk Management , Asset Pricing and Valuation

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    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 and risk analytics.

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