Andrew Davidson & Co., New York, has announced the introduction of the Loan Dynamics Model, which projects delinquency, default, and loss severity as well as prepayment on nonagency mortgage loans.AD&Co said the new model addresses "the mounting needs of firms that issue or invest in credit-sensitive mortgages and related securities" like alternative-A, high loan-to-value, and subprime loans. Andrew Davidson, president of the firm, said that while prepayment models have become "quite sophisticated" over the past 20 years, credit modeling has not advanced to the same level. "Our new Loan Dynamics Model provides a unified framework for analyzing and modeling the prepayment and default characteristics of a loan," he said. "The Loan Dynamics Model incorporates the best features of traditional roll-rate models and discrete choice models." AD&Co said it will unveil the new product Jan. 29 at the American Securitization Forum Conference in Las Vegas. The company can be found online at http://www.ad-co.com.

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