MAC3 Securitized Products Models

On Demand

Duration: 43 Minutes

Original Date: February 22, 2023

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In this seminar, we will present MAC3 Securitized Product Risk Model, with a focus on US MBS, CMBS and CMO risk models. We will discuss factor structure and backtest performance compared with legacy GRM.
- Overview of Securitized Products
- Pricing Model and Analytics
- Special Aspects of Securitized Risk Models
- Selected Securitized Models in Detail: MBS, CMBS and CMO

Speakers

Sue Li

Senior Quantitative Researcher

Bloomberg

Sue Li is a senior member in the fixed income portfolio risk and analytics research group at Bloomberg. She leads the research effort on developing securitized products, credit and derivatives across multi-asset fixed income risk and performance attribution models. Sue Li joined the team in 2017. Prior to Bloomberg, Sue worked at Lehman Brothers, Morgan Stanley, C12 Capital, and Barclays on Fixed Income Research. Sue graduated from Columbia University with a Ph.D. in Economics.

MAC3 Securitized Products Models

Speakers

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