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Fixed Income Insights: MBS Risk In Focus

Agency MBS investors are currently facing significant changes to industry practices while contending with challenging market conditions, such as rising rates and heightened volatility. To help investors meet these challenges, MSCI has made significant improvements to agency prepayment and mortgage rates models.
Please join us for an in-depth look at our latest innovation in agency MBS modeling. David Zhang, head of securitized products research, and Yihai Yu, head of mortgage research, will present MSCI’s new agency MBS model suite, which blends industry-leading analytics with AI-driven modeling techniques.
Agenda Topics
•Modeling Agency Prepayment Using Artificial Intelligence
•Overview of MSCI’s New AI-Driven Prepayment Model and Key Risk Measures
•Overview of MSCI’s New Mortgage Rates Model and Key Risk Measures

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