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Andrew Davidson is a financial innovator and a leader in the development of financial research and analytics. He has worked extensively on mortgage-backed securities product development, valuation and hedging. He is president and founder of Andrew Davidson & Co., Inc., a consulting firm specializing in the application of analytical tools to investment management.
Andrew has created the VectorsTM suite, a set of proprietary analytical tools including prepayment and option-adjusted spread (OAS) models for fixed-rate mortgages, adjustable-rate mortgages, collateralized mortgage obligations (CMOs), and for asset-backed securities (ABS). He has also developed the Flow Uncertainty Index (FLUX), which is used by insurance regulators to assess the risk of CMO portfolios.
For six years Andrew worked at Merrill Lynch, where he was a Managing Director in charge of a staff of 60 financial and system analysts. In this role, he produced sophisticated analytical tools including prepayment and option-adjusted spread models, portfolio analysis tools, and was also responsible for the development of trading systems for the mortgage desk covering ARMs, CMOs, pass-throughs, IOs/POs and OTC options. Andrew was previously a financial analyst in Exxon's Treasurer's Department. He received an MBA in Finance at the University of Chicago and a BA in Mathematics and Physics at Harvard.
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